2.1.2 Future adoption of new EU-IFRS accounting standards and amendments
\n
The following standards and amendments to existing standards, published prior to January 1, 2023, were not early adopted
\n
by the Group, but will be applied in future years:
\n
Accounting standard/ amendment/ interpretation
\n
IASB effective
\n
date
\n
Endorsed
\n
by EU
\n
Early adopted
\n
by Aegon
Impact for Aegon
\n
IFRS 17 Insurance contracts
January 1, 2023
Yes
No
See below for comments
\n
Initial Application of IFRS 17 and IFRS 9 - Comparative
\n
Information (Amendments to IFRS 17)
January 1, 2023
Yes
No
See below for comments
\n
IFRS 9 Financial instruments
January 1, 2018
\n
1)
\n
Yes
No
See below for comments
\n
Prepayment Features with Negative Compensation
\n
(Amendments to IFRS 9)
January 1, 2019
\n
1)
\n
Yes
No
See below for comments
\n
Lease Liability in a Sale and Leaseback (Amendments to
\n
IFRS 16)
January 1, 2024
Not yet
No
Not material
\n
Classification of Liabilities as Current or Non-current
\n
(Amendments to IAS 1)
January 1, 2024
Not yet
No
Not material
\n
Disclosure of Accounting Policies (Amendments to IAS 1
\n
and IFRS Practice Statement 2)
January 1, 2023
Yes
No
Not material
\n
Definition of Accounting Estimates (Amendments to IAS 8)
January 1, 2023
Yes
No
Not material
\n
Deferred Tax related to Assets and Liabilities arising from a
\n
Single Transaction (Amendments to IAS 12)
January 1, 2023
Yes
No
Not material
\n
1
\n
The amendments to IFRS 4, Applying IFRS 9 Financial Instruments with IFRS 4 Insurance Contracts, issued in September 2016, allow entities that issue insurance
\n
contracts within the scope of IFRS 4 to defer the implementation of IFRS 9 (and linked amendments \u2018Amendments to IFRS 9 Financial instruments on prepayment
\n
features with negative compensation\u2019). The amendments to IFRS 4 are further explained below.
\n
IFRS 17 Insurance Contracts
\n
The IASB issued IFRS 17 Insurance Contracts in May 2017. The Standard will replace IFRS 4, which was intended as an interim
\n
solution and allowed insurers to continue to use accounting principles that they had applied prior to the initial adoption
\n
of IFRS. IFRS 17 establishes principles for the recognition, measurement, presentation and disclosure of insurance contracts
\n
issued, reinsurance contracts held and investment contracts with discretionary participating features issued. The objective
\n
of the Standard is to ensure that entities provide relevant information in a way that faithfully represents those contracts.
\n
This information should provide users of financial statements with a basis to assess the effects that the contracts have
\n
on the financial position, financial performance and cash flows of the insurer. The Standard also specifies presentation and
\n
disclosure requirements to enhance comparability between insurance companies.
\n
On June 25, 2020, the IASB decided, next to a number of significant amendments to the Standard, to defer the effective date
\n
of IFRS 17 to annual reporting periods beginning on or after January 1, 2023. As a consequence of the IFRS 17 deferral,
\n
the IASB also agreed to revise the fixed expiry date of the temporary exemption from IFRS 9 in IFRS 4 to allow entities
\n
to continue applying the temporary exemption from IFRS 9 until January 1, 2023. The EU has endorsed IFRS 17 including
\n
the June 25, 2020 amendments as per November 2021.
\n
The Standard represents a fundamental change to current financial reporting and the implementation effort is significant.
\n
An implementation project was started soon after the publication of the new Standard. Based on the final amendments of June
\n
2020 quantitative assessments are performed which continued during 2021. In 2022, methodology and policy choices were
\n
finalized which formed the basis of preparing the opening balance sheet per January 1, 2022 and the 2022 quarterly results.
\n
Whilst the preparation of the opening balance sheet has been completed, the preparation of the 2022 quarterly results are
\n
still ongoing and full year results are only expected to be completed in the first half-year of 2023. Aegon has an established
\n
governance framework to manage the implementation of IFRS 17, including the preparation of the 2022 quarterly results, which
\n
might impact significant accounting estimates and judgements. The impact on the 2022 opening balance sheet as presented
\n
in this note is therefore indicative.
\n
a) Changes compared to previous accounting policies
\n
Under IFRS 4, Aegon largely continued to report under the accounting policies that were applied prior to the adoption of EU-
\n
IFRS. This meant that, in general, the Group applied non-uniform accounting policies for insurance assets and liabilities
\n
as allowed under Dutch Accounting Policies for insurance contracts that were continued as measurement basis under IFRS 4.
\n
Specific measurement methodologies differ between Aegon\u2019s operations, reflecting local regulatory requirements and local
\n
practices for specific product features. Under IFRS 17, consistent accounting policies will be applied to all insurance contracts
\n
and investment contracts with discretionary features, regardless of the jurisdiction in which the contracts have been issued.
\n
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\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Under Aegon\u2019s current accounting policies, some minimum guarantees are separated from the host insurance contracts and
\n
classified as derivatives. The Group has also elected to apply the accounting option under IFRS 4 to measure certain closely
\n
related minimum guarantees at fair value. Under IFRS 17, Aegon has not identified any embedded derivatives that require
\n
separation. All minimum guarantees will be measured together with the host contract, in accordance with the requirements
\n
of IFRS 17.
\n
Policy loans, value of business acquired, and insurance payables and receivables, which are currently accounted for
\n
as separate assets, will be included in the measurement of the insurance liabilities.
\n
Measurement
\n
IFRS 17 establishes principles for the accounting for insurance contracts, reinsurance contracts, and investment contracts
\n
with discretionary participation features. It will introduce a model that measures groups of contracts based on Aegon\u2019s estimate
\n
of the present value of the future cash flows that will arise as these contracts are fulfilled, and which includes an explicit risk
\n
adjustment for non-financial risk and a contractual service margin (CSM) reflecting unearned profits. Contrary to current
\n
accounting, IFRS 17 will require estimates to be current, unbiased and probability-weighted, incorporating all available
\n
information in a way that is consistent with observable market data.
\n
Insurance contracts are grouped together for measurement purposes. Aegon will not use the optional exemption provided
\n
under EU-IFRS to group together specific insurance contracts that were issued more than 12 months apart, but instead, intends
\n
to apply the IFRS 17 cohort requirements to all groups of contracts that are in scope of the Standard.
\n
IFRS 17 prescribes modifications to the general measurement model for contracts with direct participating features (the
\n
\u2018variable fee approach\u2019) and for reinsurance contracts held. The standard also provides an option to simplify the measurement
\n
of certain short-term contracts (the \u2018premium allocation approach\u2019), which will primarily be applied by Aegon to non-life
\n
insurance contracts and related reinsurance contracts held. The measurement of these contracts will be similar to the current
\n
IFRS 4 treatment, albeit that, when measuring liabilities for incurred claims, Aegon will discount cash flows expected to occur
\n
more than one year after the claim\u2019s date and will include an explicit risk adjustment for non-financial risk.
\n
Acquisition costs
\n
Currently, under IFRS 4, all acquisition costs are recognized and presented as separate assets (\u2018deferred policy acquisition
\n
costs or DPAC\u2019) until these costs are included in profit or loss. Under IFRS 17, only insurance acquisition cash flows that arise
\n
before the recognition of the related insurance contracts, will be presented as separate assets. These assets, which are subject
\n
to recoverability testing, are derecognized and included in the carrying amount of the related portfolio of contracts on initial
\n
recognition.
\n
For some (but not all) groups of contracts for which the premium allocation approach will be applied, Aegon intends to expense
\n
acquisition costs when incurred.
\n
Revenue and expenses
\n
Under IFRS 4, the revenues reported in the income statement include gross insurance premiums when due or, for products
\n
where deposit accounting was required, surrender fees and other charges. Under IFRS 17, the insurance revenue in each
\n
reporting period will reflect the consideration to which Aegon expects to be entitled in exchange for the services provided
\n
in that period.
\n
The actual claims and expenses incurred in providing the service, will be presented in the income statement as insurance
\n
service expenses.
\n
Insurance finance income and expenses, disaggregated between profit or loss and OCI for certain groups of contracts, will
\n
be presented separately from insurance revenue and insurance service expenses.
\n
Income and expenses from reinsurance contracts, other than insurance finance expenses, will be presented as a single net
\n
amount in the income statement. Currently, amounts recovered from reinsurers and reinsurance expenses were presented
\n
separately.
\n
Aegon Integrated Annual Report
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143
\n
Notes to the consolidated financial statements
Note 2
Other assets and liabilities
\n
On transition to IFRS 9 and IFRS 17, some available-for-sale investments and loans will be designated as fair value through
\n
profit or loss to reduce the accounting mismatch between assets and liabilities. Aegon will also no longer apply shadow
\n
accounting which, ignoring the impact of any reclassifications of available-for-sale investments, will have a positive impact
\n
on the carrying amount of revaluation reserves presented in group equity.
\n
Interests in insurance joint ventures and associates that are accounted for under the equity method, will be remeasured based
\n
on Aegon\u2019s new accounting policies.
\n
b) Transition
\n
Changes in accounting policies resulting from the adoption of IFRS 17 will be applied retrospectively, to the extent practicable.
\n
Under a full retrospective approach, Aegon:
\n
\u2022
\n
Identifies, recognizes and measures each group of contracts as if IFRS 17 had always been applied;
\n
\u2022
\n
Derecognizes previously reported balances that would not have existed if IFRS 17 had always been applied; and
\n
\u2022
\n
Recognizes any resulting net difference in equity.
\n
Aegon considers the full retrospective approach to be impracticable if its application requires hindsight, for example in setting
\n
historical assumptions, or if the required historical input data cannot be made available within reasonable efforts. The latter
\n
might be concluded if information is not, or no longer, available electronically and incorporating it into the IFRS 17 reporting
\n
process would be expected to induce high costs and efforts.
\n
If the retrospective application of IFRS 17 to a group of contracts is impracticable, either the modified retrospective approach
\n
or the fair value approach will be applied. The objective of the modified retrospective approach is to achieve the closest
\n
outcome to retrospective application possible. Under the fair value approach, the carrying amount of a group of insurance
\n
contracts at transition is determined in accordance with IFRS 13 Fair Value Measurement but with the exclusion of the guidance
\n
on demand features. The modified retrospective approach may only be applied if there is sufficient reasonable and supportable
\n
information available to do so. For groups of contracts that are eligible for both the modified retrospective approach and the fair
\n
value approach, the transition method will be elected based on a mix of operational and financial considerations.
\n
Notwithstanding the foregoing, Aegon will apply the fair value approach to groups of contracts with direct participation features
\n
to which it could have applied IFRS 17 fully retrospectively, where the following applies:
\n
\u2022
\n
Aegon intends to apply risk mitigation to the group of contracts prospectively from the transition date, and
\n
\u2022
\n
Prior to transition, Aegon used derivatives, other financial instruments classified as \u2018fair value through profit or loss\u2019 or
\n
reinsurance contracts to mitigate financial risk arising from that group of contracts.
\n
IFRS 17 will be applied fully retrospectively to insurance contracts issued in 2021 and to a limited number of product groups
\n
issued in earlier years, except for life insurance contracts issued in the Netherlands which is transitioned using the fair value
\n
approach. The modified retrospective approach will be applied to Investment Only Variable Annuities written in the Americas
\n
from 2009 to 2020, Universal Life contracts issued in Asia in 2015 and in 2016, and certain products written by Aegon\u2019s joint
\n
ventures in Spain and Portugal. The remainder of the in-force portfolio will transition to IFRS 17 using the fair value approach.
\n
In estimating the fair value of insurance contracts for the transition to IFRS 17, Aegon applied a methodology whereby
\n
the estimated future cash flows were adjusted for known differences between the IFRS 17 and market valuation methodologies
\n
(such as the inclusion of investment expenses for all product types) and the risk adjustment was recalculated at a higher
\n
confidence level to reflect the additional compensation that a market participant would require for financial risk and
\n
the remaining contractual services that need to be provided. Where possible the results were compared to market-observable
\n
transactions, such as recent reinsurance transactions entered into by Aegon and sales transactions of insurance portfolios and
\n
businesses (including the sale of Aegon the Netherlands to a.s.r.).
\n
Under IFRS 17, Aegon will elect to disaggregate the insurance finance income and expenses between profit or loss and OCI
\n
for certain groups of contracts without direct participating features that are issued in the Americas and Asia. The balance
\n
recognized in OCI will be determined retrospectively where possible or, alternatively, has been set to nil at the transition
\n
date. The latter applies, for example, to the fixed deferred annuities, indexed universal life and other life insurance products with
\n
indirect participating features issued in the Americas.
\n
|
Aegon Integrated Annual Report
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144
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
When applying IFRS 17 retrospectively, the carrying amount of goodwill from previous business combinations will not
\n
be adjusted.
\n
IFRS 9 Financial instruments
\n
Aegon adopts IFRS 9 as issued by the IASB in July 2014, with a date of initial application of January 1, 2023 and a transition
\n
date of January 1, 2022, which results in changes in accounting policies and adjustments to the amounts previously recognized
\n
in the financial statements. Aegon did not early adopt IFRS 9 in previous periods.
\n
For the transition to IFRS 9 and IFRS 17 in the financial statements of 2023, Aegon has decided, based on the amendment
\n
to IFRS 17, to apply the overlay approach for 2022 including impairment requirements. As the overlay approach can only
\n
be applied in periods where IFRS 17 comparatives are restated, 2021 as comparative period will not be restated for IFRS 9
\n
(nor IFRS 17).
\n
a) Changes compared to previous accounting policies
\n
The adoption of IFRS 9 results in changes in Aegon\u2019s accounting policies for recognition, classification and measurement
\n
of financial assets and financial liabilities, impairment of financial assets and hedge accounting. IFRS 9 also significantly
\n
amends other Standards dealing with financial instruments such as IFRS 7 \u2018Financial Instruments: Disclosures\u2019.
\n
Classification and measurement
\n
Under IFRS 9, classification and measurement differ for debt instruments and equity instruments.
\n
Debt instruments are those instruments that meet the definition of a financial liability from the issuer\u2019s perspective, such as
\n
mortgage loans, private loans, and government and corporate bonds. Classification and subsequent measurement depend on:
\n
\u2022
\n
Aegon's business model for managing the asset;
\n
\u2022
\n
The cash flow characteristics of the asset; and
\n
\u2022
\n
The designation at FVPL to eliminate or significantly reduce an accounting mismatch or recognition inconsistency.
\n
The Group determines its business model at the level that best reflects how it manages groups of financial assets to achieve
\n
its business objective. The Group\u2019s business model is not assessed on an instrument-by-instrument basis, but at a higher level
\n
of aggregated portfolios and is based on observable factors, such as:
\n
\u2022
\n
How the performance of the business model and the financial assets held within that business model are evaluated and
\n
reported to the Group\u2019s senior management;
\n
\u2022
\n
The risks that affect the performance of the business model and the financial assets held within it. In particular, the way
\n
those risks are managed;
\n
\u2022
\n
How the Group management is compensated, i.e. whether the compensation is based on the fair value of the assets
\n
managed or on the contractual cash flows collected;
\n
\u2022
\n
The expected frequency, value and timing of sales are also important aspects of the Group\u2019s assessment.
\n
Where the business model is to hold assets to collect contractual cash flows or to collect contractual cash flows and cash
\n
flows from the sale of the asset, Aegon assesses whether the financial instruments\u2019 cash flows represent solely payments
\n
of principal and interest (the \u2018SPPI test\u2019). In making this assessment, Aegon considers whether the contractual cash flows
\n
are consistent with a basic lending arrangement i.e. interest includes only consideration for the time value of money, credit
\n
risk, other basic lending risks and a profit margin that is consistent with a basic lending arrangement. Where the contractual
\n
terms introduce exposure to risk or volatility that are inconsistent with a basic lending arrangement, the related financial asset
\n
is classified and measured at fair value through profit or loss.
\n
Based on these factors, Aegon classifies its debt instruments into one of the following three measurement categories:
\n
\u2022
\n
Amortized cost (\u2018AC\u2019): Assets that are held for collection of contractual cash flows where those cash flows represent solely
\n
payments of principal and interest (\u2018SPPI\u2019), and that are not designated at FVPL, are measured at amortized cost. The carrying
\n
amount of these assets is adjusted by any expected credit loss allowance recognized
\n
\u2022
\n
Fair value through other comprehensive income (\u2018FVOCI\u2019): Financial assets that are held for collection of contractual cash
\n
flows and for selling the assets, where the assets\u2019 cash flows represent solely payments of principal and interest, and that
\n
are not designated at FVPL, are measured at FVOCI.
\n
\u2022
\n
Fair value through profit or loss (\u2018FVPL\u2019): Assets that do not meet the criteria for amortized cost or FVOCI are measured
\n
mandatorily at fair value through profit or loss.
\n
Aegon Integrated Annual Report
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145
\n
Notes to the consolidated financial statements
Note 2
Aegon performed a detailed analysis of its business models for managing financial assets and analysis of their cash flow
\n
characteristics. This leads to a classification of most of the mortgage, consumer, and private loan portfolios within Aegon\u2019s non-
\n
insurance entities as measured at AC, given that the cash flows on these contracts represent solely payment of principal
\n
and interest, and they fit the business model hold-to-collect. For the most significant part of Aegon\u2019s insurance entities, debt
\n
instruments will be classified as FVOCI because they fit the business model of hold-to-collect and sell, and their cash flows
\n
represent solely payment of principal and interest. However, financial assets within Aegon\u2019s European insurance entities will
\n
be designated at FVPL to minimize accounting mismatches.
\n
Equity instruments are instruments that meet the definition of equity from the issuer\u2019s perspective; that is, instruments that
\n
do not contain a contractual obligation to pay and that evidence a residual interest in the issuer\u2019s net assets. Examples of equity
\n
instruments include basic ordinary shares. Under IFRS 9, equity investments do not qualify for amortized cost or FVOCI
\n
treatment because they would fail the contractual cash flow characteristics assessment (cash flows are typically declared
\n
dividends at the discretion of the issuer, instead of interest). Thus, equity investments would generally only qualify for FVTPL
\n
treatment and not subject to impairment under expected credit loss model.
\n
However, IFRS 9 allows the entity to make an irrevocable election at initial recognition to present changes in the fair
\n
value of equity investment in OCI rather than profit or loss. The equity investments designated as FVOCI are not subject
\n
to impairment under expected credit loss model. Aegon has not elected for this option for equity investments.
\n
Financial liabilities are to be classified as subsequently measured at amortized cost, except financial liabilities measured
\n
at fair value through profit or loss, financial liabilities arising from the transfer of financial assets which did not qualify for
\n
derecognition, and financial guarantee contracts and loan commitments.
\n
Impairment
\n
The IAS 39 impairment methodology was based on an \u2018incurred loss\u2019 model, which means that an allowance was determined
\n
when an instrument was deemed credit-impaired. Under IFRS 9, Aegon will assess on a forward-looking basis the expected
\n
credit losses (\u2018ECL\u2019) associated with its debt instrument assets carried at amortized cost and FVOCI. Aegon recognizes a loss
\n
allowance for such losses at each reporting date. The measurement of ECL reflects:
\n
\u2022
\n
An unbiased and probability-weighted amount that is determined by evaluating a range of possible outcomes;
\n
\u2022
\n
The time value of money; and
\n
\u2022
\n
Reasonable and supportable information that is available without undue cost or effort at the reporting date about past
\n
events, current conditions and forecasts of future economic conditions.
\n
When incorporating forward looking information, consideration should be given to the relevance of the information (and
\n
the availability of more relevant information) for each specific financial instrument or group of financial instruments. Forward
\n
looking information that is relevant for one financial instrument may not be relevant or as relevant for other financial
\n
instruments depending on the specific drivers of credit risk. To the extent relevant, forward-looking information used for
\n
the measurement of ECLs it needs to be consistent with that used for the assessment of a significant increase in credit risk.
\n
The IFRS 9 ECL model of the Group will generally employ a Probability of Default (PD) / Loss Given Default (LGD) / Exposure
\n
at Default (EAD) methodology; each model consists of multiple sub-models that are used to generate the measurement
\n
of expected credit loss. The LGN (Loss Given No-cure) represents the expectation of the extent of the loss on an exposure
\n
that defaults without cure. The LGN varies by type and amount of exposure, and type and amount of collateral available,
\n
the presence of other credit support, the duration of default, and the macro-economic forecast. The LGN is expressed as a
\n
percentage loss per unit of exposure at the time of default. The LGN is calculated for each future quarter. Credit losses are
\n
calculated as the product of projected PD, LGD and EAD and are discounted using an appropriate discount rate. The ECL
\n
is determined as the probability weighted discounted credit losses that are determined for different scenarios (i.e., base,
\n
positive, adverse).
\n
IFRS 9 outlines a \u2018three-stage\u2019 model for impairment based on relative changes in credit quality since initial recognition:
\n
\u2022
\n
A financial instrument that is not credit-impaired on initial recognition is classified in \u2018Stage 1\u2019 and has its credit risk
\n
continuously monitored by the Group.
\n
\u2022
\n
If a significant increase in credit risk (\u2018SICR\u2019) since initial recognition is identified, the financial instrument is moved to \u2018Stage
\n
2\u2019 but is not yet deemed to be credit-impaired.
\n
\u2022
\n
If the financial instrument is credit-impaired, the financial instrument is then moved to \u2018Stage 3\u2019.
\n
|
Aegon Integrated Annual Report
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146
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Financial instruments in Stage 1 have their Expected Credit Loss (ECL) measured at an amount equal to the portion of lifetime
\n
expected credit losses that result from default events possible within the next 12 months.
Financial instruments in Stages
\n
2 or 3 have their ECL measured based on expected credit losses on a lifetime basis. Purchased or originated credit-impaired
\n
financial assets are those financial assets that are credit-impaired on initial recognition. Their ECL is always measured on a
\n
lifetime basis.
\n
Aegon considers a financial instrument to have experienced a significant increase in credit risk when specific criteria
\n
have been met which are determined for each class of financial instruments. These criteria involve quantitative, qualitative
\n
or backstop indicators. Examples of quantitative indicators include relative changes in forward-in-time probability of default,
\n
which represents a hybrid Point-in-Time (PiT) where the PD is appropriately adjusted for forward-looking information, or relative
\n
changes in rating. For specific assets Aegon uses qualitative indicators like a watchlist approach. Backstop indicators are also
\n
defined and are set specific per asset class. Aegon uses the low credit risk exemption for specific assets that are of low credit
\n
risk (i.e. investment grade or internal credit ratings that are consistent with the definition of low credit risk). Aegon\u2019s definition
\n
of default involves qualitative and quantitative criteria defined at asset class level. Backstop criteria of 90 days past due
\n
is generally applied for all asset classes, except for private loans and debt securities and deposits with financial institutions,
\n
where 5 days past due is determined. Qualitative criteria include distressed restructuring, foreclosure, breach of significant
\n
covenants without reasonably supportable waiver obtained, bankruptcy or an equivalent of an injunction for the obligor, and
\n
an internal or external credit rating falling to D.
\n
The allowance for instruments that are credit impaired under IAS 39 will generally align with the Stage 3 category of IFRS
\n
9. However, within the expected loss framework of IFRS 9 the entire portfolio of financial instruments will be assigned
\n
an impairment allowance through the additions of the 12-month ECL category (stage 1) and the Lifetime ECL Non-credit-
\n
impaired (Stage 2), generally leading to increases in the overall allowances.
\n
Hedge accounting
\n
The Group has elected to adopt the new hedge accounting model in IFRS 9. This requires the Group to ensure that hedging
\n
relationships are aligned with its risk management objectives and strategy and to apply a more qualitative and forward-looking
\n
approach to assessing hedge effectiveness. The Group has elected to continue to apply hedge accounting requirements for
\n
macro fair value hedges of IAS 39 on adoption of IFRS 9. As such, fair value hedge accounting for portfolio hedges of interest
\n
rate risk (macro hedging) under the EU \u2018carve out\u2019 of IFRS will continued to be applied.
\n
b) Transition
\n
Any adjustments to the carrying amounts of financial assets and liabilities will be recognized in the opening retained earnings
\n
and other reserves at the date of transition, January 1, 2022.
\n
Effects of initial adoption of IFRS 9 and IFRS 17
\n
The transition to IFRS 9 and IFRS 17 changes Aegon\u2019s balance sheet significantly. The main changes are:
\n
\u2022
\n
DPAC and VOBA will no longer be recognized as separate assets;
\n
\u2022
\n
Residential mortgages related to the insurance entities in the Netherlands will be measured at fair value through P&L
\n
instead of at amortized cost;
\n
\u2022
\n
Insurance liabilities are measured at fulfillment value which represents the present value of future cashflow to fulfill
\n
insurance contracts, including a risk adjustment for non-financial risk. Interest rate movements impacting the fulfillment
\n
value flow through P&L or OCI, depending on the accounting policy choice. Aegon Americas applies the OCI option for
\n
certain groups of contracts, whereas Aegon the Netherlands and Aegon UK apply the P&L option. These choices are aligned
\n
with the measurement of the related assets to ensure an accounting match for market movements on assets and liabilities;
\n
\u2022
\n
On top of the fulfillment value, a contractual service margin (CSM), reflecting unearned profits, is added to the insurance
\n
liabilities.
\n
The effect of transition to IFRS 9 and IFRS 17 on the opening balance of shareholders\u2019 equity in the comparative period
\n
in the consolidated financial statements on January 1, 2022 are presented in the table below. Please note that as stated
\n
earlier, the impacts on the opening balance are indicative and the numbers can therefore change.
\n
The impact on shareholders\u2019 equity of the implementation of IFRS 9 and IFRS 17 is estimated to be a decrease of approximately
\n
EUR 12.6 billion. This is mainly due to a release of the revaluation reserve of financial assets that are reclassified under IFRS
\n
9 and the establishment of a revaluation reserve for interest rate movements on insurance liabilities under IFRS 17 where
\n
these are allocated to Other Comprehensive Income (net decrease of approximately EUR 9.0 billion). The remaining impact
\n
Aegon Integrated Annual Report
2022 |
147
\n
Notes to the consolidated financial statements
Note 2
on shareholders\u2019 equity (estimated net decrease of approximately EUR 3.6 billion) is largely attributable to the establishment
\n
of the CSM, partly offset by the net effect of remeasuring the insurance liabilities. The latter reflecting lower fulfillment
\n
cashflows under IFRS 17 compared to the IFRS 4 insurance liabilities net of DPAC / VOBA. The estimated CSM before tax,
\n
at January 1, 2022, amounts to approximately EUR 11.8 billion. After tax the CSM is estimated to amount to approximately
\n
EUR 9.2 billion.
\n
In EUR billion
Shareholders' equity
Revaluation reserves
\n
Balances as at January 1, 2022, as previously reported
24.3
6.4
\n
Impact of the change in accounting policies (IFRS 9 and 17)
(12.6)
(9.0)
\n
Restated balances as at January 1, 2022
11.7
(2.6)
\n
Temporary exemption from applying IFRS 9 Financial Instruments
\n
Application of IFRS 9 is required for annual periods beginning on or after January 1, 2018. However, on May 18, 2017, the IASB
\n
published the final version of the IFRS 17 Insurance Contracts standard. Prior to its finalization, the IASB issued an amendment
\n
to IFRS 4 Insurance Contracts (the predecessor standard to IFRS 17) that provides for a qualifying insurer a temporary
\n
exemption that permits, but does not require, the insurer to apply IAS 39 rather than IFRS 9 for annual periods beginning before
\n
January 1, 2021 (i.e., a temporary exemption of IFRS 9). The objective of the amendment is to address the temporary accounting
\n
consequences of the different effective dates of IFRS 9 and IFRS 17. This amendment was endorsed by the European Union
\n
in November 2017.
\n
On June 25, 2020, the IASB decided, next to a number of significant amendments to the Standard, to defer the effective date
\n
of IFRS 17 to annual reporting periods beginning on or after January 1, 2023. As a consequence of the IFRS 17 deferral,
\n
the IASB also agreed to revise the fixed expiry date of the temporary exemption from IFRS 9 in IFRS 4 to allow entities
\n
to continue applying the temporary exemption from IFRS 9 until January 1, 2023.
\n
An entity is eligible to apply the temporary exemption if the carrying amount of its liabilities connected with insurance activities is
\n
\u2022
\n
Greater than 90% of the total carrying value of all liabilities; or
\n
\u2022
\n
Between 80% and 90% of the total carrying value of all its liabilities, and the insurer does not have significant activities
\n
unrelated to insurance.
\n
Aegon performed this analysis at December 31, 2015, and concluded that it meets the requirements for the temporary
\n
exception as 94% of its liabilities are connected with insurance activities. As a result, Aegon elected to make use
\n
of the temporary exemption of IFRS 9 until January 1, 2023.
\n
As Aegon defers the application of IFRS 9 (including linked amendments as included in above table), the full impact
\n
of the standard in combination with IFRS 17 is not yet clear, however an initial impact assessment resulted in the expectation
\n
that it will have a significant impact on shareholders\u2019 equity, income and/or other comprehensive income and disclosures.
\n
An implementation project was started in 2017 and is combined with the implementation of IFRS 17 Insurance Contracts.
\n
|
Aegon Integrated Annual Report
2022
148
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
By qualifying for and electing the temporary exemption, the IFRS 4 amendment requires certain additional disclosures;
\n
specifically, Aegon is required to disclose information to enable users of financial statements to compare insurers applying
\n
the temporary exemption with entities applying IFRS 9. This information is presented below:
\n
Fair value changes
\n
The table below presents an overview of the fair value of the classes of financial assets as of December 31, 2022, as well as
\n
the change in fair value during the reporting period. The asset classes are divided into two categories:
\n
\u2022
\n
SPPI: assets of which cash flows represent solely payments of principal and interest (SPPI) on an outstanding principal
\n
amount, excluding any financial assets that meet the definition of held for trading in IFRS 9, or that are managed and whose
\n
performance is evaluated on a fair value basis; and
\n
\u2022
\n
Other: all financial assets other than those specified in SPPI:
\n
\u2022
with contractual terms that do not give rise on specified dates to cash flows that are solely payments of principal and
\n
interest on the principal amount outstanding;
\n
\u2022
that meet the definition of held for trading in IFRS 9; or
\n
\u2022
that are managed and whose performance are evaluated on a fair value basis.
\n
2022
\n
1)
\n
2021
\n
Financial assets at fair value
\n
Fair value at the
\n
end of the
\n
reporting period
\n
Change in fair
\n
value during the
\n
reporting period
\n
Fair value at the
\n
end of the
\n
reporting period
\n
Change in fair
\n
value during the
\n
reporting period
\n
Shares
\n
2)
\n
SPPI
39
8
44
10
\n
Other
345
(33)
618
36
\n
Debt securities
SPPI
52,363
(14,000)
93,234
(3,132)
\n
Other
1,284
(182)
3,961
(75)
\n
Money Markets and other short-term investments
SPPI
2,631
10
2,324
(0)
\n
Other
2,982
1
2,586
-
\n
Mortgage loans
SPPI
9,245
(1,199)
44,366
(195)
\n
Other
-
-
-
-
\n
Private loans
SPPI
-
-
5,474
(267)
\n
Other
15
(26)
36
(10)
\n
Deposits with financial institutions
SPPI
45
-
52
-
\n
Other
-
-
-
-
\n
Policy loans
SPPI
1
-
1
-
\n
Other
2,042
-
1,892
(0)
\n
Other financial assets
SPPI
-
-
-
-
\n
Other
4,566
179
5,598
724
\n
At December 31
75,557
(15,241)
160,187
(2,909)
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2
\n
The SPPI-compliant shares include preferred equity instruments.
\n
Cash and cash equivalents, deposits with financial institutions, and receivables all pass the SPPI test and are held at amortized
\n
cost, whereby the amortized cost is assumed to approximate fair value due to the short-term nature of the assets. For
\n
movement schedules of these financial assets, refer to respective notes.
\n
The fair value at the end of the reporting period in the table reconciles back to the respective table in note 22.1 Financial assets,
\n
excluding derivatives.
\n
Aegon Integrated Annual Report
2022 |
149
\n
Notes to the consolidated financial statements
Note 2
Credit Risk
\n
The table below details the credit risk rating grades, as of December 31, 2022, for financial assets with cash flows that are
\n
SPPI, excluding any financial assets that meet the definition of held for trading in IFRS 9, or that are managed and whose
\n
performance is evaluated on a fair value basis. The tables show the carrying value of those financial assets applying IAS 39
\n
(in the case of financial assets measured at amortized cost, before adjusting for any impairment allowances).
\n
SPPI compliant financial assets at
\n
carrying value
AAA
AA
A
BBB
BB
B
\n
CCC or
\n
lower
\n
Not
\n
Rated
Total
\n
2022
\n
1)
\n
Shares \u2013 Carried at fair value
-
-
-
22
8
-
9
-
39
\n
Debt securities \u2013 Carried at fair value
9,251
4,270
16,398
19,779
1,424
594
647
-
52,363
\n
Money market and other short-term
\n
investments- carried at fair value
313
221
2,080
1
-
-
2
15
2,631
\n
Mortgage loans\u2013 Carried at amortized
\n
cost
1,488
4,454
3,779
671
48
-
-
5
10,445
\n
Private loans \u2013 Carried at amortized
\n
cost
-
-
-
-
-
-
-
-
-
\n
Other financial assets \u2013 Carried at fair
\n
value
-
-
6
1
-
-
-
39
46
\n
At December 31
11,052
8,944
22,263
20,474
1,480
594
658
59
65,524
\n
2021
\n
Shares \u2013 Carried at fair value
-
-
-
23
13
-
8
-
44
\n
Debt securities \u2013 Carried at fair value
26,076
10,195
24,916
28,524
1,828
918
754
24
93,234
\n
Money market and other short-term
\n
investments- carried at fair value
25
120
1,986
193
-
-
-
-
2,324
\n
Mortgage loans\u2013 Carried at amortized
\n
cost
1,383
4,221
3,301
519
59
-
-
31,141
40,624
\n
Private loans \u2013 Carried at amortized
\n
cost
2,607
216
189
1,050
44
-
-
744
4,850
\n
Other financial assets \u2013 Carried at fair
\n
value
-
-
13
1
-
18
-
21
53
\n
At December 31
30,090
14,752
30,405
30,310
1,944
936
762
31,930
141,128
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
For assets that do not qualify for the low credit risk exemption (assets rated below BBB or not rated) and of which cash flows
\n
represent SPPI, excluding any financial assets that meet the definition of held for trading in IFRS 9, or that are managed and
\n
whose performance is evaluated on a fair value basis, the table below provides the credit risk exposure from the financial
\n
assets held by Aegon
\n
1
\n
. The financial assets are categorized by asset class with a carrying amount and fair value measured
\n
in accordance with IAS 39 measurement requirements.
\n
SPPI compliant financial assets rated BB or below
\n
2022
\n
1)
\n
2021
\n
Carrying amount
Fair value
Carrying amount
Fair value
\n
Shares \u2013 Carried at fair value
17
17
21
21
\n
Debt securities \u2013 Carried at fair value
2,665
2,665
3,524
3,524
\n
Money market and other short-term investments \u2013 Carried
\n
at fair value
17
17
-
-
\n
Mortgage loans \u2013 Carried at amortized cost
53
40
31,200
34,254
\n
Private loans \u2013 Carried at amortized cost
-
-
788
816
\n
Deposits with financial institutions \u2013 Carried at amortized
\n
cost
38
38
38
38
\n
Other financial assets \u2013 Carried at fair value
1
1
1
1
\n
At December 31
2,791
2,777
35,572
38,654
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
1
\n
Mortgage loans with no low credit risk are defined as being more than 90 days past due, in line with regulatory guidelines.
\n
|
Aegon Integrated Annual Report
2022
150
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Investments in joint ventures and associates
\n
All Aegon\u2019s equity accounted investments continue to apply IAS 39. Except Santander Vida Seguros y Reaseguros S.A.
\n
('Santander Spain Life') and Aegon Industrial Fund Management Co.Ltd. ('AIFMC'), Aegon does not hold any other individually
\n
material joint-venture or associate. As most of AIFMC financial assets are measured at fair value through profit or loss, there
\n
is no material difference between the financial statements of AIFMC under IFRS 9 and IAS 39. Refer to note 25 Investments
\n
in joint ventures and associates for more detailed information on these joint ventures. As the remaining joint ventures and
\n
associates are not material on a consolidated level, the additional information required by IFRS 4 for electing the temporary
\n
exemption is not disclosed for these entities. The additional information for Santander Spain Life is presented below:
\n
2022
\n
1)
\n
2021
\n
Financial assets at fair value
\n
Fair value at the
\n
end of the
\n
reporting period
\n
Change in fair
\n
value during the
\n
reporting period
\n
Fair value at the
\n
end of the
\n
reporting period
\n
Change in fair
\n
value during the
\n
reporting period
\n
Debt securities
SPPI
178
-
178
8
\n
Other
-
-
-
-
\n
Money Markets and other short-term investments
SPPI
-
-
-
-
\n
Other
12
-
10
-
\n
Other financial assets
SPPI
-
-
-
-
\n
Other
836
(33)
-
-
\n
At December 31
1,026
(33)
188
8
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
SPPI compliant financial assets at
\n
carrying value
AAA
AA
A
BBB
BB
B
\n
CCC or
\n
lower
\n
Not
\n
Rated
Total
\n
2022
\n
1)
\n
Debt securities \u2013 Carried at fair value
6
13
123
35
-
-
-
-
178
\n
At December 31
6
13
123
35
-
-
-
-
178
\n
2021
\n
Debt securities \u2013 Carried at fair value
8
13
120
37
-
-
-
-
178
\n
At December 31
8
13
120
37
-
-
-
-
178
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Subsidiaries, joint ventures and associates applying IFRS 9 in their statutory accounts
\n
Information on the application of IFRS 9 by principal subsidiaries and joint ventures that for statutory purposes cannot elect to
\n
defer the effective date of IFRS 9 can be found in the publicly available statutory annual reports on www.aegon.nl and/or the
\n
Chamber of Commerce. This information is not part of the audited consolidated financial statements of Aegon N.V. The related
\n
entities are:
\n
\u2022
\n
Aegon Bank N.V.
\n
\u2022
\n
Aegon Hypotheken B.V.
\n
\u2022
\n
Aegon Asset Management Holding B.V.
\n
\u2022
\n
Amvest Vastgoed B.V.
\n
\u2022
\n
Amvest Development Fund B.V.
\n
\u2022
\n
Amvest Living & Care Fund
\n
\u2022
\nAmvest Residential Core Fund",
"dimensions": {
"concept": "ifrs-full:DisclosureOfChangesInAccountingPoliciesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f19922": {
"value": "The consolidated financial statements have been prepared in accordance with International Financial Reporting Standards as adopted by the European Union (EU-IFRS) and with Part 9 of Book 2 of the Dutch Civil Code.",
"dimensions": {
"concept": "ifrs-full:StatementOfIFRSCompliance",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f19941": {
"value": "The consolidated financial statements of Aegon N.V. were approved by the Executive Board and by the Supervisory Board
on March 15, 2023. The financial statements will be put for adoption to the Annual General Meeting of Shareholders on May 25,
2023. The shareholders\u2019 meeting can decide not to adopt the financial statements but cannot amend them.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfAuthorisationOfFinancialStatementsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f20951": {
"value": "
Investments in joint ventures and associates
\n
All Aegon\u2019s equity accounted investments continue to apply IAS 39. Except Santander Vida Seguros y Reaseguros S.A.
\n
('Santander Spain Life') and Aegon Industrial Fund Management Co.Ltd. ('AIFMC'), Aegon does not hold any other individually
\n
material joint-venture or associate. As most of AIFMC financial assets are measured at fair value through profit or loss, there
\n
is no material difference between the financial statements of AIFMC under IFRS 9 and IAS 39. Refer to note 25 Investments
\n
in joint ventures and associates for more detailed information on these joint ventures. As the remaining joint ventures and
\n
associates are not material on a consolidated level, the additional information required by IFRS 4 for electing the temporary
\n
exemption is not disclosed for these entities. The additional information for Santander Spain Life is presented below:
2.10 Investments in joint arrangements
In general, joint arrangements are contractual agreements whereby the Group undertakes, with other parties, an economic
\n
activity that is subject to joint control. Joint control exists when it is contractually agreed to share control over an economic
\n
activity. Joint control exists only when decisions about the relevant activities require the unanimous consent of the parties
\n
sharing control.
\n
Investments in joint arrangements are classified as either joint operations or joint ventures depending on the contractual rights
\n
and obligations each investor has rather than the legal structure of the joint arrangement. Aegon has assessed the nature of its
\n
joint arrangements and determined them to be joint ventures. Joint ventures are accounted for using the equity method.
\n
Under the equity method of accounting, interests in joint ventures are initially recognized at cost, which includes positive
\n
goodwill arising on acquisition. Negative goodwill is recognized in the income statement on the acquisition date. If joint ventures
\n
are obtained in successive share purchases, each significant transaction is accounted for separately.
\n
The carrying amount is subsequently adjusted to reflect the change in the Group\u2019s share in the net assets of the joint venture
\n
and is subject to impairment testing. The net assets are determined based on the Group\u2019s accounting policies. Any gains and
\n
losses recorded in other comprehensive income by the joint venture are recognized in other comprehensive income and
\n
reflected in other reserves in shareholders\u2019 equity, while the share in the joint ventures net result is recognized as a separate
\n
line item in the consolidated income statement. The Group\u2019s share in losses is recognized until the investment in the joint
\n
ventures' equity and any other long-term interest that are part of the net investment are reduced to nil, unless guarantees exist.
\n
Gains and losses on transactions between the Group and the joint ventures are eliminated to the extent of the Group\u2019s interest
\n
in the entity, with the exception of losses that are evidence of impairment which are recognized immediately. Own equity
\n
instruments of Aegon N.V. that are held by the joint venture are not eliminated.
On disposal of an interest in a joint venture, the difference between the net proceeds and the carrying amount is recognized
\n
in the income statement and gains and losses previously recorded directly in the revaluation reserve are reversed and recorded
\n
through the income statement.
\n
2.11 Investments in associates
\n
Entities over which the Group has significant influence through power to participate in financial and operating policy decisions,
\n
but which do not meet the definition of a subsidiary, are accounted for using the equity method. Interests held by venture
\n
capital entities, mutual funds and investment funds that qualify as an associate are accounted for as an investment held at fair
\n
value through profit or loss. Interests held by the Group in venture capital entities, mutual funds and investment funds that are
\n
managed on a fair value basis, are also accounted for as investments held at fair value through profit or loss.
\n
Interests in associates are initially recognized at cost, which includes positive goodwill arising on acquisition. Negative goodwill
\n
is recognized in the income statement on the acquisition date. If associates are obtained in successive share purchases, each
\n
significant transaction is accounted for separately.
\n
The carrying amount is subsequently adjusted to reflect the change in the Group\u2019s share in the net assets of the associate
\n
and is subject to impairment testing. The net assets are determined based on the Group\u2019s accounting policies. Any gains
\n
and losses recorded in other comprehensive income by the associate are reflected in other reserves in shareholders\u2019 equity,
\n
while the share in the associate\u2019s net result is recognized as a separate line item in the consolidated income statement.
\n
The Group\u2019s share in losses is recognized until the investment in the associate\u2019s equity and any other long-term interest that are
\n
part of the net investment are reduced to nil, unless guarantees exist.
\n
Gains and losses on transactions between the Group and the associate are eliminated to the extent of the Group\u2019s interest
\n
in the entity, with the exception of losses that are evidence of impairment which are recognized immediately. Own equity
\n
instruments of Aegon N.V. that are held by the associate are not eliminated.
\n
On disposal of an interest in an associate, the difference between the net proceeds and the carrying amount is recognized
\n
in the income statement and gains and losses previously recorded directly in the revaluation reserve are reversed and recorded
\n
through the income statement.
",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociatesAndJointVenturesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21095": {
"value": "2.2 Basis of consolidation
Subsidiaries
\n
The consolidated financial statements include the financial statements of Aegon N.V. and its subsidiaries. Subsidiaries
\n
(including consolidated structured entities) are entities over which Aegon has control. Aegon controls an entity when Aegon
\n
is exposed, or has rights, to variable returns from its involvement with the entity and has the ability to affect those returns
\n
through its power over the entity. The assessment of control is based on the substance of the relationship between the Group
\n
and the entity and, among other things, considers existing and potential voting rights that are substantive. For a right to be
\n
substantive, the holder must have the practical ability to exercise that right.
\n
Aegon Integrated Annual Report
2022 |
151
\n
Notes to the consolidated financial statements
Note 2
The subsidiary\u2019s assets, liabilities and contingent liabilities are measured at fair value on the acquisition date and are
\n
subsequently accounted for in accordance with the Group\u2019s accounting policies, which is consistent with EU-IFRS. Intra-group
\n
transactions, including Aegon N.V. shares held by subsidiaries, which are recognized as treasury shares in equity, are eliminated.
\n
Intra-group losses may indicate an impairment that requires recognition in the consolidated financial statements. Non-
\n
controlling interests are initially stated at their share in the fair value of the net assets on the acquisition date and subsequently
\n
adjusted for the non-controlling share in changes in the subsidiary\u2019s equity.
\n
The excess of the consideration paid to acquire the interest and the fair value of any interest already owned, over
\n
the Group\u2019s share in the net fair value of assets, liabilities and contingent liabilities acquired is recognized as goodwill.
\n
Negative goodwill is recognized directly in the income statement. If the fair value of the assets, liabilities and contingent
\n
liabilities acquired in the business combination has been determined provisionally, adjustments to these values resulting from
\n
the emergence of new evidence within 12 months after the acquisition date are made against goodwill. Aegon recognized
\n
contingent considerations either as provision or as financial liability depending on the characteristics. Any contingent
\n
consideration payable is recognized at fair value at the acquisition date. If the contingent consideration is classified
\n
as equity, it is not remeasured and settlement is accounted for within equity. Otherwise, subsequent changes to the fair value
\n
of the contingent consideration are recognized in the income statement.
\n
The identifiable assets, liabilities and contingent liabilities are stated at fair value when control is obtained.
\n
Subsidiaries are deconsolidated when control ceases to exist. Any difference between the net proceeds plus the fair
\n
value of any retained interest and the carrying amount of the subsidiary including non-controlling interests is recognized
\n
in the income statement.
\n
Transactions with non-controlling interests
\n
Transactions with non-controlling interests are accounted for as transactions with owners. Therefore, disposals to non-
\n
controlling interests and acquisitions from non-controlling interests, not resulting in losing or gaining control of the subsidiary
\n
are recorded in equity. Any difference between consideration paid or received and the proportionate share in net assets
\n
is accounted for in equity attributable to shareholders of Aegon N.V.
\n
Investment funds
\n
Investment funds managed by the Group in which the Group holds an interest are consolidated in the financial statements
\n
if the Group has power over that investment fund and it is exposed, or has rights, to variable returns from its involvement with
\n
the investee and has the ability to affect those returns through its power over the investee. In assessing control, all interests
\n
held by the Group in the fund are considered, regardless of whether the financial risk related to the investment is borne
\n
by the Group or by the policyholders (unless a direct link between the policyholder and the fund can be assumed).
\n
In determining whether Aegon has power over an investment fund all facts and circumstances are considered, including the
\n
following:
\n
\u2022
\n
Control structure of the asset manager (i.e. whether an Aegon subsidiary);
\n
\u2022
\n
The investment constraints posed by investment mandate;
\n
\u2022
\n
Legal rights held by the policyholder to the separate assets in the investment vehicle (e.g. policyholders could have the
\n
voting rights related to these investments);
\n
\u2022
\n
The governance structure, such as an independent board of directors, representing the policyholders, which has substantive
\n
rights (e.g. to elect or remove the asset manager); and
\n
\u2022
\n
Rights held by other parties (e.g. voting rights of policyholders that are substantive or not).
\n
Exposure or rights to variability of returns can be the result of, for example:
\n
\u2022
\n
General account investment of Aegon;
\n
\u2022
\n
Aegon's investments held for policyholder;
\n
\u2022
\n
Guarantees provided by Aegon on return of policyholders in specific investment vehicles;
\n
\u2022
\n
Fees dependent on fund value (including, but not limited to, asset management fees); and
\n
\u2022
\n
Fees dependent on performance of the fund (including, but not limited to, performance fees).
\n
Investment funds where Aegon acts as an agent are not consolidated due to lack of control of the funds. In particular, for some
\n
separate accounts, the independent board of directors has substantive rights and therefore Aegon does not have power over
\n
these separate accounts but acts as an agent.
\n
|
Aegon Integrated Annual Report
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152
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
For limited partnerships, the assessment takes into account Aegon\u2019s legal position (i.e. limited partner or general partner)
\n
and any substantive removal rights held by other parties. Professional judgment is applied concerning the substantiveness
\n
of the removal rights and the magnitude of the exposure to variable returns, leading to the conclusion that Aegon controls
\n
some, but not all, of the limited partnerships in which it participates.
\n
Upon consolidation of an investment fund, a liability is recognized to the extent that the Group is legally obliged to buy back
\n
participations held by third parties. The liability is presented in the consolidated financial statements as investment contracts
\n
for account of policyholders. Where no repurchase obligation exists, the participations held by third parties are presented
\n
as non-controlling interests in equity. The assets allocated to participations held by third parties or by the Group on behalf
\n
of policyholders are presented in the consolidated financial statements as investments for account of policyholders.
\n
Equity instruments issued by the Group that are held by investment funds are eliminated on consolidation. However,
\n
the elimination is reflected in equity and not in the measurement of the related financial liabilities towards policyholders
\n
or other third parties.
\n
Structured entities
\n
A structured entity is defined in IFRS 12 as \u201cAn entity that has been designed so that voting rights are not the dominant factor
\n
in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities
\n
are directed by means of contractual arrangements.\u201d In these instances the tests and indicators to assess control provided
\n
by IFRS 10 have more focus on the purpose and design of the investee (with relation to the relevant activities that most
\n
significantly affect the structured entity) and the exposure to variable returns, which for structured entities lies in interests
\n
through e.g. derivatives, and will not be focused on entities that are controlled by voting rights.
\n
Structured entities that are consolidated include certain mortgage backed securitization deals, where Aegon was involved
\n
in the design of the structured entities and also has the ability to use its power to affect the amount of the investee\u2019s returns.
\n
Other factors that contribute to the conclusion that consolidation of these entities is required includes consideration
\n
of whether Aegon fully services the investees and can therefore influence the defaults of the mortgage portfolios and the fact
\n
that in these cases the majority of risks are maintained by Aegon.
\n
Structured entities that are not consolidated include general account investments in non-affiliated structured entities that are
\n
used for investment purposes.
\n
Non-current assets held for sale and disposal groups
\n
Disposal groups are classified as held for sale if they are available for immediate sale in their present condition, subject only
\n
to the customary sales terms of such assets and disposal groups and their sale is considered highly probable. Management
\n
must be committed to the sale, which is expected to occur within one year from the date of classification as held for sale.
\n
Upon classification as held for sale, the carrying amount of the disposal group (or group of assets) is compared to their fair
\n
value less cost to sell. If the fair value less cost to sell is lower than the carrying value, this expected loss is recognized through
\n
a reduction of the carrying value of any goodwill related to the disposal group or the carrying value of certain other non-current,
\n
non-financial assets to the extent that the carrying value of those assets exceeds their fair value. Any excess of the expected
\n
loss over the reduction of the carrying amount of these relevant assets is not recognized upon classification as held for sale,
\n
but is recognized as part of the result on disposal if and when a divestment transaction occurs.
\n
Classification into or out of held for sale does not result in restating comparative amounts in the statement of financial position.
\n
Discontinued operations
\n
To qualify as a discontinued operation, Aegon requires a disposal group to be presented as a separate line of business
\n
or geographical segment. When Aegon classifies its component comprising of a cash generating unit or multiple cash
\n
generating units as a disposal group, it presents the performance of this component as discontinued operation in the statement
\n
of comprehensive income and makes separate disclosures with the analysis of the net result from discontinued operations, and
\n
cash-flow information. Aegon re-presents comparative information in the statement of comprehensive income and disclosures
\nto reflect the prior years\u2019 net result attributable to the operations discontinued until the end of the latest period.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfBasisOfConsolidationExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21098": {
"value": "Subsidiaries
The consolidated financial statements include the financial statements of Aegon N.V. and its subsidiaries. Subsidiaries
\n
(including consolidated structured entities) are entities over which Aegon has control. Aegon controls an entity when Aegon
\n
is exposed, or has rights, to variable returns from its involvement with the entity and has the ability to affect those returns
\n
through its power over the entity. The assessment of control is based on the substance of the relationship between the Group
\n
and the entity and, among other things, considers existing and potential voting rights that are substantive. For a right to be
\n
substantive, the holder must have the practical ability to exercise that right.
\n
Aegon Integrated Annual Report
2022 |
151
\n
Notes to the consolidated financial statements
Note 2
The subsidiary\u2019s assets, liabilities and contingent liabilities are measured at fair value on the acquisition date and are
\n
subsequently accounted for in accordance with the Group\u2019s accounting policies, which is consistent with EU-IFRS. Intra-group
\n
transactions, including Aegon N.V. shares held by subsidiaries, which are recognized as treasury shares in equity, are eliminated.
\n
Intra-group losses may indicate an impairment that requires recognition in the consolidated financial statements. Non-
\n
controlling interests are initially stated at their share in the fair value of the net assets on the acquisition date and subsequently
\n
adjusted for the non-controlling share in changes in the subsidiary\u2019s equity.
\n
The excess of the consideration paid to acquire the interest and the fair value of any interest already owned, over
\n
the Group\u2019s share in the net fair value of assets, liabilities and contingent liabilities acquired is recognized as goodwill.
\n
Negative goodwill is recognized directly in the income statement. If the fair value of the assets, liabilities and contingent
\n
liabilities acquired in the business combination has been determined provisionally, adjustments to these values resulting from
\n
the emergence of new evidence within 12 months after the acquisition date are made against goodwill. Aegon recognized
\n
contingent considerations either as provision or as financial liability depending on the characteristics. Any contingent
\n
consideration payable is recognized at fair value at the acquisition date. If the contingent consideration is classified
\n
as equity, it is not remeasured and settlement is accounted for within equity. Otherwise, subsequent changes to the fair value
\n
of the contingent consideration are recognized in the income statement.
\n
The identifiable assets, liabilities and contingent liabilities are stated at fair value when control is obtained.
\n
Subsidiaries are deconsolidated when control ceases to exist. Any difference between the net proceeds plus the fair
\n
value of any retained interest and the carrying amount of the subsidiary including non-controlling interests is recognized
\nin the income statement.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForSubsidiariesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21147": {
"value": "Transactions with non-controlling interests
Transactions with non-controlling interests are accounted for as transactions with owners. Therefore, disposals to non-
\n
controlling interests and acquisitions from non-controlling interests, not resulting in losing or gaining control of the subsidiary
\n
are recorded in equity. Any difference between consideration paid or received and the proportionate share in net assets
\nis accounted for in equity attributable to shareholders of Aegon N.V.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForTransactionsWithNoncontrollingInterestsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21236": {
"value": "Non-current assets held for sale and disposal groups
Disposal groups are classified as held for sale if they are available for immediate sale in their present condition, subject only
\n
to the customary sales terms of such assets and disposal groups and their sale is considered highly probable. Management
\n
must be committed to the sale, which is expected to occur within one year from the date of classification as held for sale.
\n
Upon classification as held for sale, the carrying amount of the disposal group (or group of assets) is compared to their fair
\n
value less cost to sell. If the fair value less cost to sell is lower than the carrying value, this expected loss is recognized through
\n
a reduction of the carrying value of any goodwill related to the disposal group or the carrying value of certain other non-current,
\n
non-financial assets to the extent that the carrying value of those assets exceeds their fair value. Any excess of the expected
\n
loss over the reduction of the carrying amount of these relevant assets is not recognized upon classification as held for sale,
\n
but is recognized as part of the result on disposal if and when a divestment transaction occurs.
\nClassification into or out of held for sale does not result in restating comparative amounts in the statement of financial position.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForNoncurrentAssetsOrDisposalGroupsClassifiedAsHeldForSaleExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21274": {
"value": "2.3 Foreign exchange translation
a. Translation of foreign currency transactions
\n
The Group\u2019s consolidated financial statements are presented in euros. Items included in the financial statements of individual
\n
group companies are recorded in their respective functional currency which is the currency of the primary economic
\n
environment in which each entity operates. Transactions in foreign currencies are initially recorded at the exchange rate
\n
prevailing at the date of the transaction.
\n
At the reporting date, monetary assets and monetary liabilities in foreign currencies are translated to the functional currency
\n
at the closing rate of exchange prevailing on that date, except for own equity instruments in foreign currencies which are
\n
translated using historical exchange rates. Non-monetary items carried at cost are translated using the exchange rate
\n
at the date of the transaction, while assets carried at fair value are translated at the exchange rate when the fair value
\n
was determined.
\n
Exchange differences on monetary items are recognized in the income statement when they arise, except when they are
\n
deferred in other comprehensive income as a result of a qualifying cash flow or net investment hedge. Exchange differences
\n
on non-monetary items carried at fair value are recognized in other comprehensive income or the income statement,
\n
consistently with other gains and losses on these items.
\n
b. Translation of foreign currency operations
\n
On consolidation, the financial statements of group entities with a foreign functional currency are translated to euro,
\n
the currency in which the consolidated financial statements are presented. Assets and liabilities are translated at the closing
\n
rates on the reporting date. Income, expenses and capital transactions (such as dividends) are translated at average exchange
\n
rates or at the prevailing rates on the transaction date, if more appropriate. Goodwill and fair value adjustments arising
\n
on the acquisition of a foreign entity are translated at the closing rates on the reporting date.
\n
The resulting exchange differences are recognized in the 'foreign currency translation reserve', which is part of shareholders\u2019
\n
equity. On disposal of a foreign entity the related cumulative exchange differences included in the reserve are recognized
\nin the income statement.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForForeignCurrencyTranslationExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21301": {
"value": "2.4 Segment reporting Reporting segments and segment measures are explained and disclosed in note 5 Segment information.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForSegmentReportingExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21305": {
"value": "2.5 Offsetting of assets and liabilities
Financial assets and liabilities are offset in the statement of financial position when the Group has a legally enforceable right
\n
to offset and has the intention to settle the asset and liability on a net basis or simultaneously. The legally enforceable right
\n
must not be contingent on future events and must be enforceable in the normal course of business and in the event of default,
\ninsolvency or bankruptcy of the Company or the counterpart.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForOffsettingOfFinancialInstrumentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21313": {
"value": "2.6 Intangible assets
a. Goodwill
\n
Goodwill is recognized as an intangible asset for interests in subsidiaries and is measured as the positive difference between
\n
the acquisition cost and the Group\u2019s interest in the net fair value of the entity\u2019s identifiable assets, liabilities and contingent
\n
liabilities. Subsequently, goodwill is carried at cost less accumulated impairment charges. It is derecognized when the interest
\n
in the subsidiary is disposed.
\n
b. Value of business acquired
\n
When a portfolio of insurance contracts is acquired, whether directly from another insurance company or as part of a business
\n
combination, the difference between the fair value and the carrying amount of the insurance liabilities is recognized as value
\n
of business acquired (VOBA). The Group also recognizes VOBA when it acquires a portfolio of investment contracts with
\n
discretionary participation features.
\n
VOBA is amortized over the useful life of the acquired contracts, based on either the expected future premiums, revenues
\n
or the expected gross profit margins. The amortization period and pattern are reviewed at each reporting date; any change
\n
in estimates is recorded in the income statement. For all products, VOBA, in conjunction with deferred policy acquisition
\n
costs (DPAC) where appropriate, is assessed for recoverability using aggregation levels on a geographical jurisdiction basis
\n
or at the level of portfolio of contracts that are subject to broadly similar risks and managed together as a single portfolio.
\n
|
Aegon Integrated Annual Report
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154
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The portion determined not to be recoverable is charged to the income statement. VOBA is considered in the liability adequacy
\n
test for each reporting period, for more details refer to 2.19.f Liability adequacy testing.
\n
When unrealized gains or losses arise on available-for-sale assets backing the insurance liabilities, VOBA is adjusted to equal
\n
the effect that the realization of the gains or losses (through a sale or impairment) would have had on VOBA. The adjustment
\n
is recognized in other comprehensive income and accumulated in the related revaluation reserve in shareholders\u2019 equity. VOBA
\n
is derecognized when the related contracts are settled or disposed.
\n
c. Future servicing rights
\n
On the acquisition of a portfolio of investment contracts without discretionary participation features under which Aegon will
\n
render investment management services, the present value of future servicing rights is recognized as an intangible asset.
\n
Future servicing rights can also be recognized on the sale of a loan portfolio or the acquisition of insurance agency activities.
\n
The present value of the future servicing rights is amortized over the servicing period and is subject to impairment testing. It is
\n
derecognized when the related contracts are settled or disposed.
\n
Where applicable, Aegon recognizes other intangibles on the acquisition of a business combination such as those related
\n
to customer relationships. This can include customer contracts, distribution agreements and client portfolios. For these
\n
intangibles the present value of future cash flows are recognized and amortized in the period when future economic benefits
\n
arise from these intangibles. These intangible assets are also presented under future servicing rights.
\n
d. Software and other intangible assets
\n
Software and other intangible assets are recognized to the extent that the assets can be identified, are controlled by the Group,
\n
are expected to provide future economic benefits and can be measured reliably. The Group does not recognize internally
\n
generated intangible assets arising from research or internally generated goodwill, brands, customer lists and similar items.
\n
Software and other intangible assets are carried at cost less accumulated depreciation and impairment losses. Depreciation
\n
of the asset is over its useful life as the future economic benefits emerge and is recognized in the income statement
\n
as an expense. The depreciation period and pattern are reviewed at each reporting date, with any changes recognized
\n
in the income statement.
\n
An intangible asset is derecognized when it is disposed of or when no future economic benefits are expected from its use
\nor disposal.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsAndGoodwillExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21314": {
"value": "2.6 Intangible assetsb. Value of business acquired
When a portfolio of insurance contracts is acquired, whether directly from another insurance company or as part of a business
\n
combination, the difference between the fair value and the carrying amount of the insurance liabilities is recognized as value
\n
of business acquired (VOBA). The Group also recognizes VOBA when it acquires a portfolio of investment contracts with
\n
discretionary participation features.
\n
VOBA is amortized over the useful life of the acquired contracts, based on either the expected future premiums, revenues
\n
or the expected gross profit margins. The amortization period and pattern are reviewed at each reporting date; any change
\n
in estimates is recorded in the income statement. For all products, VOBA, in conjunction with deferred policy acquisition
\n
costs (DPAC) where appropriate, is assessed for recoverability using aggregation levels on a geographical jurisdiction basis
\n
or at the level of portfolio of contracts that are subject to broadly similar risks and managed together as a single portfolio.
The portion determined not to be recoverable is charged to the income statement. VOBA is considered in the liability adequacy
\n
test for each reporting period, for more details refer to 2.19.f Liability adequacy testing.
\n
When unrealized gains or losses arise on available-for-sale assets backing the insurance liabilities, VOBA is adjusted to equal
\n
the effect that the realization of the gains or losses (through a sale or impairment) would have had on VOBA. The adjustment
\n
is recognized in other comprehensive income and accumulated in the related revaluation reserve in shareholders\u2019 equity. VOBA
\n
is derecognized when the related contracts are settled or disposed.
\n
c. Future servicing rights
\n
On the acquisition of a portfolio of investment contracts without discretionary participation features under which Aegon will
\n
render investment management services, the present value of future servicing rights is recognized as an intangible asset.
\n
Future servicing rights can also be recognized on the sale of a loan portfolio or the acquisition of insurance agency activities.
\n
The present value of the future servicing rights is amortized over the servicing period and is subject to impairment testing. It is
\n
derecognized when the related contracts are settled or disposed.
\n
Where applicable, Aegon recognizes other intangibles on the acquisition of a business combination such as those related
\n
to customer relationships. This can include customer contracts, distribution agreements and client portfolios. For these
\n
intangibles the present value of future cash flows are recognized and amortized in the period when future economic benefits
\n
arise from these intangibles. These intangible assets are also presented under future servicing rights.
\n
d. Software and other intangible assets
\n
Software and other intangible assets are recognized to the extent that the assets can be identified, are controlled by the Group,
\n
are expected to provide future economic benefits and can be measured reliably. The Group does not recognize internally
\n
generated intangible assets arising from research or internally generated goodwill, brands, customer lists and similar items.
\n
Software and other intangible assets are carried at cost less accumulated depreciation and impairment losses. Depreciation
\n
of the asset is over its useful life as the future economic benefits emerge and is recognized in the income statement
\n
as an expense. The depreciation period and pattern are reviewed at each reporting date, with any changes recognized
\n
in the income statement.
\n
An intangible asset is derecognized when it is disposed of or when no future economic benefits are expected from its use
\n
or disposal.
",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsOtherThanGoodwillExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21317": {
"value": "a. Goodwill
Goodwill is recognized as an intangible asset for interests in subsidiaries and is measured as the positive difference between
\n
the acquisition cost and the Group\u2019s interest in the net fair value of the entity\u2019s identifiable assets, liabilities and contingent
\n
liabilities. Subsequently, goodwill is carried at cost less accumulated impairment charges. It is derecognized when the interest
\nin the subsidiary is disposed.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForGoodwillExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21318": {
"value": "a. Goodwill
Goodwill is recognized as an intangible asset for interests in subsidiaries and is measured as the positive difference between
\n
the acquisition cost and the Group\u2019s interest in the net fair value of the entity\u2019s identifiable assets, liabilities and contingent
\n
liabilities. Subsequently, goodwill is carried at cost less accumulated impairment charges. It is derecognized when the interest
\n
in the subsidiary is disposed.
\n
b. Value of business acquired
\n
When a portfolio of insurance contracts is acquired, whether directly from another insurance company or as part of a business
\n
combination, the difference between the fair value and the carrying amount of the insurance liabilities is recognized as value
\n
of business acquired (VOBA). The Group also recognizes VOBA when it acquires a portfolio of investment contracts with
\n
discretionary participation features.
\n
VOBA is amortized over the useful life of the acquired contracts, based on either the expected future premiums, revenues
\n
or the expected gross profit margins. The amortization period and pattern are reviewed at each reporting date; any change
\n
in estimates is recorded in the income statement. For all products, VOBA, in conjunction with deferred policy acquisition
\n
costs (DPAC) where appropriate, is assessed for recoverability using aggregation levels on a geographical jurisdiction basis
\n
or at the level of portfolio of contracts that are subject to broadly similar risks and managed together as a single portfolio.
\n
|
Aegon Integrated Annual Report
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\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The portion determined not to be recoverable is charged to the income statement. VOBA is considered in the liability adequacy
\n
test for each reporting period, for more details refer to 2.19.f Liability adequacy testing.
\n
When unrealized gains or losses arise on available-for-sale assets backing the insurance liabilities, VOBA is adjusted to equal
\n
the effect that the realization of the gains or losses (through a sale or impairment) would have had on VOBA. The adjustment
\n
is recognized in other comprehensive income and accumulated in the related revaluation reserve in shareholders\u2019 equity. VOBA
\nis derecognized when the related contracts are settled or disposed.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsAndGoodwillExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21327": {
"value": "b. Value of business acquired
When a portfolio of insurance contracts is acquired, whether directly from another insurance company or as part of a business
\n
combination, the difference between the fair value and the carrying amount of the insurance liabilities is recognized as value
\n
of business acquired (VOBA). The Group also recognizes VOBA when it acquires a portfolio of investment contracts with
\n
discretionary participation features.
\n
VOBA is amortized over the useful life of the acquired contracts, based on either the expected future premiums, revenues
\n
or the expected gross profit margins. The amortization period and pattern are reviewed at each reporting date; any change
\n
in estimates is recorded in the income statement. For all products, VOBA, in conjunction with deferred policy acquisition
\n
costs (DPAC) where appropriate, is assessed for recoverability using aggregation levels on a geographical jurisdiction basis
\n
or at the level of portfolio of contracts that are subject to broadly similar risks and managed together as a single portfolio.
\n
|
Aegon Integrated Annual Report
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154
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The portion determined not to be recoverable is charged to the income statement. VOBA is considered in the liability adequacy
\n
test for each reporting period, for more details refer to 2.19.f Liability adequacy testing.
\n
When unrealized gains or losses arise on available-for-sale assets backing the insurance liabilities, VOBA is adjusted to equal
\n
the effect that the realization of the gains or losses (through a sale or impairment) would have had on VOBA. The adjustment
\n
is recognized in other comprehensive income and accumulated in the related revaluation reserve in shareholders\u2019 equity. VOBA
\nis derecognized when the related contracts are settled or disposed.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForBusinessCombinationsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21396": {
"value": "2.7 Investments
General account investments comprise financial assets, excluding derivatives, as well as investments in real estate.
\n
a. Financial assets, excluding derivatives
\n
Financial assets are recognized at trade date (except for Private placements that are recognized at settlement date) when
\n
the Group becomes a party to the contractual provisions of the instruments. All financial assets are classified for accounting
\n
purposes depending on the characteristics of the instruments and the purpose for which they were purchased.
\n
Classification
\n
The following financial assets are measured at fair value through profit or loss: financial assets held for trading, financial
\n
assets managed on a fair value basis in accordance with the Group\u2019s investment strategy and financial assets containing
\n
an embedded derivative that is not closely related and that cannot be reliably bifurcated. In addition, in certain instances
\n
the Group designates financial assets to this category when by doing so a potential accounting mismatch in the financial
\n
statements is eliminated or significantly reduced.
\n
Financial assets with fixed or determinable payments, that are not quoted in an active market and that the Group does not
\n
intend to sell in the near future are classified as loans. Those for which the holder may not recover substantially all of its initial
\n
investment, other than because of credit deterioration, are accounted for as available-for-sale.
\n
All remaining non-derivative financial assets are classified as available-for-sale.
\n
Aegon Integrated Annual Report
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155
\n
Notes to the consolidated financial statements
Note 2
Measurement
\n
Financial assets are initially recognized at fair value plus, in the case of a financial asset not at fair value through profit or loss,
\n
any directly attributable incremental transaction costs.
\n
Loans and financial assets held-to-maturity are subsequently carried at amortized cost using the effective interest rate
\n
method. Financial assets at fair value through profit or loss are measured at fair value with all changes in fair value recognized
\n
in the income statement as incurred. Available-for-sale assets are recorded at fair value with unrealized changes in fair value
\n
recognized in other comprehensive income. Financial assets that are designated as hedged items are measured in accordance
\n
with the requirements for hedge accounting.
\n
Amortized cost
\n
The amortized cost of a debt instrument is the amount at which it is measured at initial recognition minus principal repayments,
\n
plus or minus the cumulative amortization of any difference between the initial amount and the maturity amount, and minus
\n
any reduction for impairment. The effective interest rate method is a method of calculating the amortized cost and of allocating
\n
the interest income or expense over the relevant period. The effective interest rate is the rate that exactly discounts estimated
\n
future cash payments or receipts through the expected life of the debt instrument or, when appropriate, a shorter period
\n
to the net carrying amount of the instrument. When calculating the effective interest rate, all contractual terms are considered.
\n
Possible future credit losses are not taken into account. Charges and interest paid or received between parties to the contract
\n
that are an integral part of the effective interest rate, transaction costs and all other premiums or discounts are included
\n
in the calculation.
\n
Fair value
\n
The consolidated financial statements provide information on the fair value of all financial assets, including those carried
\n
at amortized cost where the values are provided in the notes to the financial statements.
\n
Fair value is defined as the amount that would be received from the sale of an asset or paid to transfer a liability in an
\n
orderly transaction between market participants at the measurement date under current market conditions (i.e. an exit price
\n
at the measurement date from the perspective of a market participant that holds the asset or owes the liability). For quoted
\n
financial assets for which there is an active market, the fair value is the bid price at the reporting date. In the absence of an
\n
active market, fair value is estimated by using present value based or other valuation techniques. Where discounting techniques
\n
are applied, the discount rate is based on current market rates applicable to financial instruments with similar characteristics.
\n
The valuation techniques that include unobservable inputs can result in a different outcome than the actual transaction price
\n
at which the asset was acquired. Such differences are not recognized in the income statement immediately but are deferred.
\n
They are released over time to the income statement in line with the change in factors (including time) that market participants
\n
would consider in setting a price for the asset. Interest accrued to date is not included in the fair value of the financial asset.
\n
Derecognition
\n
A financial asset is derecognized when the contractual rights to the asset\u2019s cash flows expire or when the Group retains
\n
the right to receive cash flows from the asset but has an obligation to pay any received cash flows in full without delay
\n
to a third party and either: has transferred the asset and substantially all the risks and rewards of ownership, or has neither
\n
transferred nor retained all the risks and rewards but has transferred control of the asset. Financial assets of which the Group
\n
has neither transferred nor retained significantly all the risk and rewards and retained control are recognized to the extent
\n
of the Group\u2019s continuing involvement. If significantly all risks are retained, the assets are not derecognized.
\n
On derecognition, the difference between the disposal proceeds and the carrying amount is recognized in the income
\n
statement as a realized gain or loss. Any cumulative unrealized gain or loss previously recognized in the revaluation reserve
\n
in shareholders\u2019 equity is also recognized in the income statement.
\n
Security lending and repurchase agreements
\n
Financial assets that are lent to a third party or that are transferred subject to a repurchase agreement at a fixed price are
\n
not derecognized as the Group retains substantially all the risks and rewards of the asset. A liability is recognized for cash
\n
(collateral) received, on which interest is accrued.
\n
A security that has been received under a borrowing or reverse repurchase agreement is not recognized as an asset.
\n
A receivable is recognized for any related cash (collateral) paid by Aegon. The difference between sale and repurchase price
\n
|
Aegon Integrated Annual Report
2022
156
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
is treated as investment income. If the Group subsequently sells that security, a liability to repurchase the asset is recognized
\n
and initially measured at fair value.
\n
Collateral
\n
With the exception of cash collateral, assets received as collateral are not separately recognized as an asset until the financial
\n
asset they secure defaults. When cash collateral is recognized, a liability is recorded for the same amount.
\n
b. Real estate
\n
Investments in real estate include property held to earn rentals or for capital appreciation, or both. Investments in real estate
\n
are presented as 'Investments'. Property that is occupied by the Group and that is not intended to be sold in the near future
\n
is classified as real estate held for own use and is presented in 'Other assets and receivables'.
\n
All property is initially recognized at cost. Such cost includes the cost of replacing part of the real estate and borrowing cost
\n
for long-term construction projects if recognition criteria are met. Subsequently, investments in real estate are measured
\n
at fair value with the changes in fair value recognized in the income statement. Real estate held for own use is carried at its
\n
revalued amount, which is the fair value at the date of revaluation less subsequent accumulated depreciation and impairment
\n
losses. Depreciation is calculated on a straight line basis over the useful life of a building. Land is not depreciated. Revaluation
\n
of real estate for own use is recognized in other comprehensive income and accumulated in revaluation reserve in equity.
\n
On revaluation the accumulated depreciation is eliminated against the gross carrying amount of the asset and the net amount
\n
is restated to the revalued amount.
\n
On disposal of an asset, the difference between the net proceeds received and the carrying amount is recognized
\n
in the income statement. Any remaining surplus attributable to real estate in own use in the revaluation reserve is transferred
\n
to retained earnings.
\n
Maintenance costs and other subsequent expenditure
\n
Expenditure incurred after initial recognition of the asset is capitalized to the extent that the level of future economic benefits
\n
of the asset is increased. Costs that restore or maintain the level of future economic benefits are recognized in the income
\nstatement as incurred.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentsOtherThanInvestmentsAccountedForUsingEquityMethodExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21463": {
"value": "Derecognition
A financial asset is derecognized when the contractual rights to the asset\u2019s cash flows expire or when the Group retains
\n
the right to receive cash flows from the asset but has an obligation to pay any received cash flows in full without delay
\n
to a third party and either: has transferred the asset and substantially all the risks and rewards of ownership, or has neither
\n
transferred nor retained all the risks and rewards but has transferred control of the asset. Financial assets of which the Group
\n
has neither transferred nor retained significantly all the risk and rewards and retained control are recognized to the extent
\n
of the Group\u2019s continuing involvement. If significantly all risks are retained, the assets are not derecognized.
\n
On derecognition, the difference between the disposal proceeds and the carrying amount is recognized in the income
\n
statement as a realized gain or loss. Any cumulative unrealized gain or loss previously recognized in the revaluation reserve
\nin shareholders\u2019 equity is also recognized in the income statement.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForDerecognitionOfFinancialInstrumentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21505": {
"value": "Collateral
With the exception of cash collateral, assets received as collateral are not separately recognized as an asset until the financial
\nasset they secure defaults. When cash collateral is recognized, a liability is recorded for the same amount. ",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForCollateralExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21536": {
"value": "2.9 Derivatives
a. Definition
\n
Derivatives are financial instruments of which the value changes in response to an underlying variable, that often require little
\n
or no net initial investment and are settled at a future date.
\n
Assets and liabilities may include derivative-like terms and conditions. With the exception of features embedded in contracts
\n
held at fair value through profit or loss, embedded derivatives that are not considered closely related to the host contract are
\n
bifurcated, carried at fair value and presented as derivatives. In assessing whether a derivative-like feature is closely related
\n
to the contract in which it is embedded, the Group considers the similarity of the characteristics of the embedded derivative
\n
and the host contract. Embedded derivatives that transfer significant insurance risk are accounted for as insurance contracts.
\n
Derivatives with positive values are reported as assets and derivatives with negative values are reported as liabilities.
\n
Derivatives for which the contractual obligation can only be settled by exchanging a fixed amount of cash for a fixed amount
\n
of Aegon N.V. equity instruments are accounted for in shareholders\u2019 equity.
\n
b. Measurement
\n
All derivatives recognized on the statement of financial position are carried at fair value.
\n
The fair value is calculated net of the interest accrued to date and is based on market prices, when available. When market
\n
prices are not available, other valuation techniques, such as option pricing or stochastic modeling, are applied. The valuation
\n
Aegon Integrated Annual Report
2022 |
157
\n
Notes to the consolidated financial statements
Note 2
techniques incorporate all factors that market participants would consider and are based on observable market data,
\nto the extent possible.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21537": {
"value": "2.9 Derivatives
a. Definition
\n
Derivatives are financial instruments of which the value changes in response to an underlying variable, that often require little
\n
or no net initial investment and are settled at a future date.
\n
Assets and liabilities may include derivative-like terms and conditions. With the exception of features embedded in contracts
\n
held at fair value through profit or loss, embedded derivatives that are not considered closely related to the host contract are
\n
bifurcated, carried at fair value and presented as derivatives. In assessing whether a derivative-like feature is closely related
\n
to the contract in which it is embedded, the Group considers the similarity of the characteristics of the embedded derivative
\n
and the host contract. Embedded derivatives that transfer significant insurance risk are accounted for as insurance contracts.
\n
Derivatives with positive values are reported as assets and derivatives with negative values are reported as liabilities.
\n
Derivatives for which the contractual obligation can only be settled by exchanging a fixed amount of cash for a fixed amount
\n
of Aegon N.V. equity instruments are accounted for in shareholders\u2019 equity.
\n
b. Measurement
\n
All derivatives recognized on the statement of financial position are carried at fair value.
\n
The fair value is calculated net of the interest accrued to date and is based on market prices, when available. When market
\n
prices are not available, other valuation techniques, such as option pricing or stochastic modeling, are applied. The valuation
\n
Aegon Integrated Annual Report
2022 |
157
\n
Notes to the consolidated financial statements
Note 2
techniques incorporate all factors that market participants would consider and are based on observable market data,
\n
to the extent possible.
\n
c. Hedge accounting
\n
As part of its asset liability management, the Group enters into economic hedges to limit its risk exposure. These transactions
\n
are assessed to determine whether hedge accounting can and should be applied.
\n
To qualify for hedge accounting, the hedge relationship is designated and formally documented at inception, detailing
\n
the particular risk management objective and strategy for the hedge (which includes the item and risk that is being
\n
hedged), the derivative that is being used and how hedge effectiveness is being assessed. A derivative has to be highly
\n
effective in accomplishing the objective of offsetting either changes in fair value or cash flows for the risk being hedged.
\n
The effectiveness of the hedging relationship is evaluated on a prospective and retrospective basis using qualitative and
\n
quantitative measures of correlation. Qualitative methods may include comparison of critical terms of the derivative
\n
to the hedged item. Quantitative methods include a comparison of the changes in the fair value or discounted cash flow
\n
of the hedging instrument to the hedged item. A hedging relationship is considered highly effective if the results of the hedging
\n
instrument are within a ratio of 80% to 125% of the results of the hedged item.
\n
Following the financial crisis, the reform and replacement of benchmark interest rates such as LIBOR and other interbank
\n
offered rates (\u2018IBORs\u2019) has become a priority for global regulators. There is currently uncertainty around the timing and precise
\n
nature of these changes, in light of which the following assumptions have been made with respect to hedge accounting:
\n
\u2022
\n
When considering the \u2018highly probable\u2019 requirement, it is assumed that the current benchmark interest rate on which the
\n
hedged positions is based will not change as a result of IBOR reform.
\n
\u2022
\n
In assessing whether the hedge is expected to be \u2018highly effective\u2019 on a forward-looking basis, it is assumed that the current
\n
benchmark interest rate on which the cash flows of the hedged item and the derivative that hedges it are based is not
\n
altered as a result of the IBOR reform.
\n
\u2022
\n
Hedge accounting is not discontinued during the period of IBOR-related uncertainty solely because the retrospective
\n
effectiveness falls outside the required 80-125% range.
\n
\u2022
\n
For macro hedging the assessment whether the hedged risk component is a separately identifiable, is performed only when
\n
a hedged item is first included in the hedge and not on an ongoing basis.
\n
\u2022
\n
The cash flows hedge reserve relating to the period after the IBOR reform is expected to take effect, is not recycled solely
\n
because cash flows are expected to change.
\n
When the uncertainty arising from IBOR reform is no longer present with respect to the hedged risk or the timing and the
\n
amount of interest rate benchmark-based cash flows of the hedged item or of the hedging instrument, the hedge
\n
documentation is amended to reflect the changes required by IBOR reform (i.e. a change results directly from IBOR reform and
\n
occurs on an economically equivalent basis). For this purpose, the hedge designation is amended only to make one or more of
\n
the following changes:
\n
\u2022
\n
designating an alternative benchmark rate as the hedged risk;
\n
\u2022
\n
amending the description of the hedged item, including the description of the designated portion of the cash flows or fair
\n
value being hedged;
\n
\u2022
\n
amending the description of the hedging instrument; or
\n
\u2022
\n
amending the description of the method for assessing hedge effectiveness.
\n
Amending the formal designation of a hedging relationship to reflect the changes required by IBOR reform constitutes neither
\n
the discontinuation of the hedging relationship nor the designation of a new hedging relationship.
\n
For hedge accounting purposes, a distinction is made between fair value hedges, cash flow hedges and hedges of a net
\n
investment in a foreign operation.
\n
Fair value hedges
\n
Changes in the fair value of derivatives that are designated and qualify as fair value hedges are recognized in the profit and
\n
loss account, together with fair value adjustments to the hedged item attributable to the hedged risk. If the hedge relationship
\n
no longer meets the criteria for hedge accounting, the cumulative adjustment of the hedged item is, in the case of interest
\n
bearing instruments, amortized through the profit and loss account over the remaining term of the original hedge or recognized
\n
directly when the hedged item is derecognized.
\n
|
Aegon Integrated Annual Report
2022
158
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Aegon applies fair value hedge accounting to portfolio hedges of interest rate risk (fair value macro hedging) under the EU
\n
\u2018carve out\u2019 of EU-IFRS. The EU \u2018carve out\u2019 macro hedging enables a group of derivatives (or proportions thereof) to be viewed
\n
in combination and jointly designated as the hedging instrument and removes some of the limitations in fair value hedge
\n
accounting. Under the EU \u2018carve out\u2019, ineffectiveness in fair value hedge accounting only arises when the revised projection
\n
of the amount of cash flows in scheduled time buckets falls below the designated amount of that bucket. Aegon applies fair
\n
value hedge accounting for portfolio hedges of interest rate risk (macro hedging) under the EU \u2018carve out\u2019 to mortgage loans.
\n
Changes in the fair value of the derivatives are recognized in the profit and loss account, together with the fair value adjustment
\n
on the mortgages (hedged items) insofar as attributable to interest rate risk (the hedged risk).
\n
Cash flow hedges
\n
Cash flow hedges are hedges of the exposure to variability in cash flows that is attributable to a particular risk of a forecasted
\n
transaction or a recognized asset or liability and could affect profit or loss. To the extent that the hedge is effective, the change
\n
in the fair value of the derivative is recognized in the related revaluation reserve in shareholders\u2019 equity. Any ineffectiveness
\n
is recognized directly in the income statement. The amount recorded in shareholders\u2019 equity is released to the income
\n
statement to coincide with the hedged transaction, except when the hedged transaction is an acquisition of a non-financial
\n
asset or liability. In this case, the amount in shareholders\u2019 equity is included in the initial cost of the asset or liability.
\n
Net investment hedges
\n
Net investment hedges are hedges of currency exposures on a net investment in a foreign operation. To the extent that
\n
the hedge is effective, the change in the fair value of the hedging instrument is recognized in the net foreign investment hedging
\n
reserve in shareholders\u2019 equity. Any ineffectiveness is recognized in the income statement. The amount in shareholders\u2019 equity
\n
is released to the income statement when the foreign operation is disposed of.
\n
Hedge accounting is discontinued prospectively for hedges that are no longer considered effective. When hedge accounting
\n
is discontinued for a fair value hedge, the derivative continues to be carried on the statement of financial position with changes
\n
in its fair value recognized in the income statement. When hedge accounting is discontinued for a cash flow hedge because
\n
the cash flow is no longer expected to occur, the accumulated gain or loss in shareholders\u2019 equity is recognized immediately
\n
in the income statement. In other situations where hedge accounting is discontinued for a cash flow hedge, including those
\n
where the derivative is sold, terminated or exercised, accumulated gains or losses in shareholders\u2019 equity are amortized into
\nthe income statement when the income statement is impacted by the variability of the cash flow from the hedged item. ",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsAndHedgingExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21579": {
"value": "c. Hedge accounting
As part of its asset liability management, the Group enters into economic hedges to limit its risk exposure. These transactions
\n
are assessed to determine whether hedge accounting can and should be applied.
\n
To qualify for hedge accounting, the hedge relationship is designated and formally documented at inception, detailing
\n
the particular risk management objective and strategy for the hedge (which includes the item and risk that is being
\n
hedged), the derivative that is being used and how hedge effectiveness is being assessed. A derivative has to be highly
\n
effective in accomplishing the objective of offsetting either changes in fair value or cash flows for the risk being hedged.
\n
The effectiveness of the hedging relationship is evaluated on a prospective and retrospective basis using qualitative and
\n
quantitative measures of correlation. Qualitative methods may include comparison of critical terms of the derivative
\n
to the hedged item. Quantitative methods include a comparison of the changes in the fair value or discounted cash flow
\n
of the hedging instrument to the hedged item. A hedging relationship is considered highly effective if the results of the hedging
\n
instrument are within a ratio of 80% to 125% of the results of the hedged item.
\n
Following the financial crisis, the reform and replacement of benchmark interest rates such as LIBOR and other interbank
\n
offered rates (\u2018IBORs\u2019) has become a priority for global regulators. There is currently uncertainty around the timing and precise
\n
nature of these changes, in light of which the following assumptions have been made with respect to hedge accounting:
\n
\u2022
\n
When considering the \u2018highly probable\u2019 requirement, it is assumed that the current benchmark interest rate on which the
\n
hedged positions is based will not change as a result of IBOR reform.
\n
\u2022
\n
In assessing whether the hedge is expected to be \u2018highly effective\u2019 on a forward-looking basis, it is assumed that the current
\n
benchmark interest rate on which the cash flows of the hedged item and the derivative that hedges it are based is not
\n
altered as a result of the IBOR reform.
\n
\u2022
\n
Hedge accounting is not discontinued during the period of IBOR-related uncertainty solely because the retrospective
\n
effectiveness falls outside the required 80-125% range.
\n
\u2022
\n
For macro hedging the assessment whether the hedged risk component is a separately identifiable, is performed only when
\n
a hedged item is first included in the hedge and not on an ongoing basis.
\n
\u2022
\n
The cash flows hedge reserve relating to the period after the IBOR reform is expected to take effect, is not recycled solely
\n
because cash flows are expected to change.
\n
When the uncertainty arising from IBOR reform is no longer present with respect to the hedged risk or the timing and the
\n
amount of interest rate benchmark-based cash flows of the hedged item or of the hedging instrument, the hedge
\n
documentation is amended to reflect the changes required by IBOR reform (i.e. a change results directly from IBOR reform and
\n
occurs on an economically equivalent basis). For this purpose, the hedge designation is amended only to make one or more of
\n
the following changes:
\n
\u2022
\n
designating an alternative benchmark rate as the hedged risk;
\n
\u2022
\n
amending the description of the hedged item, including the description of the designated portion of the cash flows or fair
\n
value being hedged;
\n
\u2022
\n
amending the description of the hedging instrument; or
\n
\u2022
\n
amending the description of the method for assessing hedge effectiveness.
\n
Amending the formal designation of a hedging relationship to reflect the changes required by IBOR reform constitutes neither
\n
the discontinuation of the hedging relationship nor the designation of a new hedging relationship.
\n
For hedge accounting purposes, a distinction is made between fair value hedges, cash flow hedges and hedges of a net
\n
investment in a foreign operation.
\n
Fair value hedges
\n
Changes in the fair value of derivatives that are designated and qualify as fair value hedges are recognized in the profit and
\n
loss account, together with fair value adjustments to the hedged item attributable to the hedged risk. If the hedge relationship
\n
no longer meets the criteria for hedge accounting, the cumulative adjustment of the hedged item is, in the case of interest
\n
bearing instruments, amortized through the profit and loss account over the remaining term of the original hedge or recognized
\n
directly when the hedged item is derecognized.
\n
|
Aegon Integrated Annual Report
2022
158
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Aegon applies fair value hedge accounting to portfolio hedges of interest rate risk (fair value macro hedging) under the EU
\n
\u2018carve out\u2019 of EU-IFRS. The EU \u2018carve out\u2019 macro hedging enables a group of derivatives (or proportions thereof) to be viewed
\n
in combination and jointly designated as the hedging instrument and removes some of the limitations in fair value hedge
\n
accounting. Under the EU \u2018carve out\u2019, ineffectiveness in fair value hedge accounting only arises when the revised projection
\n
of the amount of cash flows in scheduled time buckets falls below the designated amount of that bucket. Aegon applies fair
\n
value hedge accounting for portfolio hedges of interest rate risk (macro hedging) under the EU \u2018carve out\u2019 to mortgage loans.
\n
Changes in the fair value of the derivatives are recognized in the profit and loss account, together with the fair value adjustment
\n
on the mortgages (hedged items) insofar as attributable to interest rate risk (the hedged risk).
\n
Cash flow hedges
\n
Cash flow hedges are hedges of the exposure to variability in cash flows that is attributable to a particular risk of a forecasted
\n
transaction or a recognized asset or liability and could affect profit or loss. To the extent that the hedge is effective, the change
\n
in the fair value of the derivative is recognized in the related revaluation reserve in shareholders\u2019 equity. Any ineffectiveness
\n
is recognized directly in the income statement. The amount recorded in shareholders\u2019 equity is released to the income
\n
statement to coincide with the hedged transaction, except when the hedged transaction is an acquisition of a non-financial
\n
asset or liability. In this case, the amount in shareholders\u2019 equity is included in the initial cost of the asset or liability.
\n
Net investment hedges
\n
Net investment hedges are hedges of currency exposures on a net investment in a foreign operation. To the extent that
\n
the hedge is effective, the change in the fair value of the hedging instrument is recognized in the net foreign investment hedging
\n
reserve in shareholders\u2019 equity. Any ineffectiveness is recognized in the income statement. The amount in shareholders\u2019 equity
\n
is released to the income statement when the foreign operation is disposed of.
\n
Hedge accounting is discontinued prospectively for hedges that are no longer considered effective. When hedge accounting
\n
is discontinued for a fair value hedge, the derivative continues to be carried on the statement of financial position with changes
\n
in its fair value recognized in the income statement. When hedge accounting is discontinued for a cash flow hedge because
\n
the cash flow is no longer expected to occur, the accumulated gain or loss in shareholders\u2019 equity is recognized immediately
\n
in the income statement. In other situations where hedge accounting is discontinued for a cash flow hedge, including those
\n
where the derivative is sold, terminated or exercised, accumulated gains or losses in shareholders\u2019 equity are amortized into
\nthe income statement when the income statement is impacted by the variability of the cash flow from the hedged item. ",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForHedgingExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21688": {
"value": "2.10 Investments in joint arrangements
In general, joint arrangements are contractual agreements whereby the Group undertakes, with other parties, an economic
\n
activity that is subject to joint control. Joint control exists when it is contractually agreed to share control over an economic
\n
activity. Joint control exists only when decisions about the relevant activities require the unanimous consent of the parties
\n
sharing control.
\n
Investments in joint arrangements are classified as either joint operations or joint ventures depending on the contractual rights
\n
and obligations each investor has rather than the legal structure of the joint arrangement. Aegon has assessed the nature of its
\n
joint arrangements and determined them to be joint ventures. Joint ventures are accounted for using the equity method.
\n
Under the equity method of accounting, interests in joint ventures are initially recognized at cost, which includes positive
\n
goodwill arising on acquisition. Negative goodwill is recognized in the income statement on the acquisition date. If joint ventures
\n
are obtained in successive share purchases, each significant transaction is accounted for separately.
\n
The carrying amount is subsequently adjusted to reflect the change in the Group\u2019s share in the net assets of the joint venture
\n
and is subject to impairment testing. The net assets are determined based on the Group\u2019s accounting policies. Any gains and
\n
losses recorded in other comprehensive income by the joint venture are recognized in other comprehensive income and
\n
reflected in other reserves in shareholders\u2019 equity, while the share in the joint ventures net result is recognized as a separate
\n
line item in the consolidated income statement. The Group\u2019s share in losses is recognized until the investment in the joint
\n
ventures' equity and any other long-term interest that are part of the net investment are reduced to nil, unless guarantees exist.
\n
Gains and losses on transactions between the Group and the joint ventures are eliminated to the extent of the Group\u2019s interest
\n
in the entity, with the exception of losses that are evidence of impairment which are recognized immediately. Own equity
\n
instruments of Aegon N.V. that are held by the joint venture are not eliminated.
\n
Aegon Integrated Annual Report
2022 |
159
\n
Notes to the consolidated financial statements
Note 2
On disposal of an interest in a joint venture, the difference between the net proceeds and the carrying amount is recognized
\n
in the income statement and gains and losses previously recorded directly in the revaluation reserve are reversed and recorded
\nthrough the income statement.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentsInJointVentures",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21735": {
"value": "2.11 Investments in associates
Entities over which the Group has significant influence through power to participate in financial and operating policy decisions,
\n
but which do not meet the definition of a subsidiary, are accounted for using the equity method. Interests held by venture
\n
capital entities, mutual funds and investment funds that qualify as an associate are accounted for as an investment held at fair
\n
value through profit or loss. Interests held by the Group in venture capital entities, mutual funds and investment funds that are
\n
managed on a fair value basis, are also accounted for as investments held at fair value through profit or loss.
\n
Interests in associates are initially recognized at cost, which includes positive goodwill arising on acquisition. Negative goodwill
\n
is recognized in the income statement on the acquisition date. If associates are obtained in successive share purchases, each
\n
significant transaction is accounted for separately.
\n
The carrying amount is subsequently adjusted to reflect the change in the Group\u2019s share in the net assets of the associate
\n
and is subject to impairment testing. The net assets are determined based on the Group\u2019s accounting policies. Any gains
\n
and losses recorded in other comprehensive income by the associate are reflected in other reserves in shareholders\u2019 equity,
\n
while the share in the associate\u2019s net result is recognized as a separate line item in the consolidated income statement.
\n
The Group\u2019s share in losses is recognized until the investment in the associate\u2019s equity and any other long-term interest that are
\n
part of the net investment are reduced to nil, unless guarantees exist.
\n
Gains and losses on transactions between the Group and the associate are eliminated to the extent of the Group\u2019s interest
\n
in the entity, with the exception of losses that are evidence of impairment which are recognized immediately. Own equity
\n
instruments of Aegon N.V. that are held by the associate are not eliminated.
\n
On disposal of an interest in an associate, the difference between the net proceeds and the carrying amount is recognized
\n
in the income statement and gains and losses previously recorded directly in the revaluation reserve are reversed and recorded
\nthrough the income statement.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForInvestmentInAssociates",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21759": {
"value": "2.12 Reinsurance assets
Reinsurance contracts are contracts entered into by the Group in order to receive compensation for claims/benefits incurred
\n
on contracts written by the Group (outgoing reinsurance). Reinsurance assets are also held as part of exiting the business.
\n
For contracts transferring sufficient insurance risk, a reinsurance asset is recognized for the expected future benefits, less
\n
expected future reinsurance premiums. Reinsurance contracts with insufficient insurance risk transfer are accounted for
\n
as investment or service contracts, depending on the nature of the agreement.
\n
Reinsurance assets are measured consistently with the assumptions associated with the underlying insurance contracts and
\n
in accordance with the terms of each reinsurance contract. They are subject to impairment testing and are derecognized when
\n
the contractual rights are extinguished or expire or when the contract is transferred to another party.
\n
Aegon is not relieved of its legal liabilities when entering into reinsurance transactions, therefore the reserves relating
\n
to the underlying insurance contracts will continue to be reported on the consolidated statement of financial position during
\n
the contractual term of the underlying contracts.
\n
Reinsurance premiums, commissions and claim settlements are accounted for in the same way as the original contracts for
\n
which the reinsurance was concluded. The insurance premiums for the original contracts are presented gross of reinsurance
\npremiums paid.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForReinsuranceExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21777": {
"value": "2.13 Deferred expenses
a. Deferred policy acquisition costs (DPAC)
\n
DPAC relates to all insurance contracts as well as investment contracts with discretionary participation features and
\n
represents directly attributable costs that are related to the selling, underwriting and initiating of these insurance contracts.
\n
DPAC are deferred to the extent that they are recoverable and are subsequently amortized based on factors such as expected
\n
gross profit margins. For products sold in the United States and Asia with amortization based on expected gross profit margins
\n
|
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160
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
or revenues, the amortization period and pattern are reviewed at each reporting date and any change in estimates is recognized
\n
in the income statement. Estimates include, but are not limited to: an economic perspective in terms of future returns on bond
\n
and equity instruments, mortality, morbidity and lapse assumptions, maintenance expenses and expected inflation rates.
\n
For all products, DPAC, in conjunction with VOBA where appropriate, is assessed for recoverability at least annually as part
\n
of the liability adequacy test for each reporting period. If appropriate, the assumptions included in the determination
\n
of estimated gross profits or revenues are adjusted. The portion of DPAC that is determined not to be recoverable is charged
\n
to the income statement.
\n
For products sold in the United States and Asia, when unrealized gains or losses arise on available-for-sale assets backing
\n
the insurance liabilities, DPAC is adjusted to equal the effect that the realization of the gains or losses (through sale
\n
or impairment) would have had on its measurement. This is recognized in other comprehensive income and accumulated
\n
in the related revaluation reserve in shareholders\u2019 equity.
\n
DPAC is derecognized when the related contracts are settled or disposed.
\n
b. Deferred cost of reinsurance
\n
A deferred cost of reinsurance is established when Aegon enters into a reinsurance transaction, except for reinsurance
\n
transactions that are entered into as part of a plan to exit a business. When Aegon enters into a reinsurance contract as part
\n
of a plan to exit a business, an immediate loss is recognized in the income statement. Upon reinsurance, Aegon is not
\n
relieved of its legal liabilities, so the reserves relating to the underlying reinsured contracts will continue to be reported
\n
in the consolidated statement of financial position during the contractual term of the underlying contracts.
\n
The difference, if any, between amounts paid in a reinsurance transaction and the amount of the liabilities relating
\n
to the underlying reinsured contracts is part of the deferred cost of reinsurance.
\n
When losses on buying reinsurance are deferred, the amortization is based on the assumptions of the underlying insurance
\n
contracts. In the Netherlands, the amortization is based on the percentage of premium paid on the reinsurance contract.
\n
For products sold in the Americas and Asia where the amortization is based on expected gross profit margins (EGPs), these
\n
EGPs will be net of reinsurance (i.e., net of actual reinsurance cash flows that exceed expected reinsurance cash flows).
\n
The amortization is recognized in the income statement.
\n
c. Deferred transaction costs
\n
Deferred transaction costs relate to investment contracts without discretionary participation features under which Aegon
\n
will render investment management services. Incremental costs that are directly attributable to securing these investment
\n
management contracts are recognized as an asset if they can be identified separately and measured reliably and if it
\n
is probable that they will be recovered.
\n
For contracts involving both the origination of a financial liability and the provision of investment management services,
\n
only the transaction costs allocated to the servicing component are deferred. The other transaction costs are included
\n
in the carrying amount of the financial liability.
\n
The deferred transaction costs are amortized in line with fee income, unless there is evidence that another method better
\n
represents the provision of services under the contract. The amortization is recognized in the income statement. Deferred
\n
transaction costs are subject to impairment testing at least annually.
\nDeferred transaction costs are derecognized when the related contracts are settled or disposed.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredAcquisitionCostsArisingFromInsuranceContractsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21844": {
"value": "2.14 Other assets and receivables
Other assets include trade and other receivables, prepaid expenses, equipment and real estate held for own use. Trade and
\n
other receivables are initially recognized at fair value and are subsequently measured at amortized cost. Equipment is initially
\n
carried at cost, depreciated on a straight line basis over its useful life to its residual value and is subject to impairment testing.
\nThe accounting for real estate held for own use is described in note 2.7 Investments. ",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForTradeAndOtherReceivablesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21868": {
"value": "2.15 Cash and cash equivalents
Cash comprises cash at banks and in-hand. Cash equivalents are short-term, highly liquid investments generally with original
\n
maturities of three months or less that are readily convertible to known cash amounts, are subject to insignificant risks
\n
of changes in value and are held for the purpose of meeting short-term cash requirements. Money market investments that are
\n
held for investment purposes (backing insurance liabilities, investment liabilities or equity based on asset liability management
\n
considerations) are not included in cash and cash equivalents but are presented as investments or investments for account
\nof policyholders.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyToDetermineComponentsOfCashAndCashEquivalents",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21878": {
"value": "2.16 Impairment of assets
An asset is impaired if the carrying amount exceeds the amount that would be recovered through its use or sale. For tangible
\n
and intangible assets, financial assets and reinsurance assets, if not held at fair value through profit or loss, the recoverable
\n
amount of the asset is estimated when there are indications that the asset may be impaired. Irrespective of the indications,
\n
goodwill and other intangible assets with an indefinite useful life that are not amortized, are tested at least annually.
\n
There are a number of significant risks and uncertainties inherent in the process of monitoring investments and determining
\n
if impairment exists. These risks and uncertainties include the risk that the Group\u2019s assessment of an issuer\u2019s ability to meet
\n
all of its contractual obligations will change based on changes in the credit characteristics of that issuer and the risk that
\n
the economic outlook will be worse than expected or have more of an impact on the issuer than anticipated. Any of these
\n
situations could result in a charge against the income statement to the extent of the impairment charge recorded.
\n
a. Impairment of non-financial assets
\n
Assets are tested individually for impairment when there are indications that the asset may be impaired. For goodwill and
\n
intangible assets with an undefined life, an impairment test is performed at least once a year or more frequently as a result
\n
of an event or change in circumstances that would indicate an impairment charge may be necessary. The impairment loss
\n
is calculated as the difference between the carrying and the recoverable amount of the asset, which is the higher of an
\n
asset\u2019s value in use and its fair value less cost of disposal. The value in use represents the discounted future net cash flows
\n
from the continuing use and ultimate disposal of the asset and reflects its known inherent risks and uncertainties. The valuation
\n
utilizes the best available information, including assumptions and projections considered reasonable and supportable
\n
by management. The assumptions used in the valuation involve significant judgments and estimates. Refer to note 29 Intangible
\n
assets for more details.
\n
Impairment losses are charged to other comprehensive income to the extent that they offset a previously recorded revaluation
\n
reserve relating to the same item. Any further losses are recognized directly in the income statement. Impairment of deferred
\n
policy acquisition costs is included in note 15 Impairment charges/(reversals).
\n
With the exception of goodwill, impairment losses are reversed when there is evidence that there has been a change
\n
in the estimates used to determine the asset\u2019s recoverable amount since the recognition of the last impairment loss.
\n
The reversal is recognized in the income statement to the extent that it reverses impairment losses previously recognized
\n
in the income statement. The carrying amount after reversal cannot exceed the amount that would have been recognized had
\n
no impairment taken place.
\n
Non-financial assets that only generate cash flows in combination with other assets and liabilities are tested for impairment
\n
at the level of the cash-generating unit. The goodwill acquired in a business combination, for the purpose of impairment testing,
\n
is allocated to cash-generating units, or groups of cash-generating units, that are expected to benefit from the synergies
\n
of the combination. The allocation is based on the level at which goodwill is monitored internally and cannot be larger than
\n
an operating segment. When impairing a cash-generating unit, any goodwill allocated to the unit is first written-off and
\n
recognized in the income statement. The remaining impairment loss is allocated on a pro rata basis among the other assets,
\n
on condition that the resulting carrying amounts do not fall below the individual assets\u2019 recoverable amounts.
\n
b. Impairment of debt instruments
\n
Debt instruments are impaired if there is objective evidence that a credit event has occurred after the initial recognition
\n
of the asset that has a negative impact on the estimated future cash flows. Individually significant loans and other
\n
receivables are first assessed separately. All non-impaired assets measured at amortized cost are then grouped by credit risk
\n
characteristics and collectively tested for impairment.
\n
|
Aegon Integrated Annual Report
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\n
About Aegon
Governance and risk management
Financial information
Non-financial information
For debt instruments carried at amortized cost, the carrying amount of impaired financial assets is reduced through
\n
an allowance account. The impairment loss is calculated as the difference between the carrying and recoverable amount
\n
of the investment. The recoverable amount is determined by discounting the estimated probable future cash flows
\n
at the original effective interest rate of the asset. For variable interest debt instruments, the current effective interest rate under
\n
the contract is applied.
\n
For debt instruments classified as available-for-sale, the asset is impaired to its fair value. Any unrealized loss previously
\n
recognized in other comprehensive income is taken to the income statement in the impairment loss. After impairment
\n
the interest accretion on debt instruments is recognized using the rate of interest used to discount the future cash flows for
\n
the purpose of measuring the impairment loss.
\n
Impairment losses recognized for debt instruments can be reversed if in subsequent periods the amount of the impairment
\n
loss decreases and that decrease can be objectively related to a credit event occurring after the impairment was recognized.
\n
For debt instruments carried at amortized cost, the carrying amount after reversal cannot exceed what the amortized cost
\n
would have been at the reversal date, had the impairment not been recognized.
\n
c. Impairment of equity instruments
\n
For equity instruments, objective evidence of impairment of an investment in an equity instrument classified as available-
\n
for-sale includes information about significant changes with an adverse effect that have taken place in the technological,
\n
market, economic or legal environment in which the issuer operates, and indicates that the cost of the investment in the equity
\n
instrument may not be recovered. A significant or prolonged decline in fair value below initial cost is also considered objective
\n
evidence of impairment and always results in a loss being recognized in the income statement. Significant or prolonged
\n
decline is defined as an unrealized loss position for generally more than six months or a fair value of less than 80% of the cost
\n
price of the investment. Equity investments are impaired to the asset\u2019s fair value and any unrealized gain or loss previously
\n
recognized in shareholders\u2019 equity is taken to the income statement as an impairment loss. The amount exceeding the balance
\n
of previously recognized unrealized gains or losses is recognized in the income statement. If an available-for-sale equity
\n
security is impaired based upon Aegon\u2019s qualitative or quantitative impairment criteria, any further declines in the fair value
\n
at subsequent reporting dates are recognized as impairments. Therefore, at each reporting period, for an equity security that
\n
is determined to be impaired based upon Aegon\u2019s impairment criteria, an impairment is recognized for the difference between
\n
the fair value and the original cost basis, less any previously recognized impairments.
\n
Impairment losses on equity instruments cannot be reversed.
\n
d. Impairment of reinsurance assets
\n
Reinsurance assets are impaired if there is objective evidence, as a result of an event that occurred after initial recognition
\n
of the reinsurance asset, that not all amounts due under the terms of the contract may be received. In such a case, the value
\n
of the reinsurance asset recoverable is determined based on the best estimate of future cash flows, taking into consideration
\n
the reinsurer\u2019s current and expected future financial conditions plus any collateral held in trust for Aegon\u2019s benefit. The carrying
\nvalue is reduced to this calculated recoverable value, and the impairment loss recognized in the income statement.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfAssetsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21890": {
"value": "a. Impairment of non-financial assets
Assets are tested individually for impairment when there are indications that the asset may be impaired. For goodwill and
\n
intangible assets with an undefined life, an impairment test is performed at least once a year or more frequently as a result
\n
of an event or change in circumstances that would indicate an impairment charge may be necessary. The impairment loss
\n
is calculated as the difference between the carrying and the recoverable amount of the asset, which is the higher of an
\n
asset\u2019s value in use and its fair value less cost of disposal. The value in use represents the discounted future net cash flows
\n
from the continuing use and ultimate disposal of the asset and reflects its known inherent risks and uncertainties. The valuation
\n
utilizes the best available information, including assumptions and projections considered reasonable and supportable
\n
by management. The assumptions used in the valuation involve significant judgments and estimates. Refer to note 29 Intangible
\n
assets for more details.
\n
Impairment losses are charged to other comprehensive income to the extent that they offset a previously recorded revaluation
\n
reserve relating to the same item. Any further losses are recognized directly in the income statement. Impairment of deferred
\n
policy acquisition costs is included in note 15 Impairment charges/(reversals).
\n
With the exception of goodwill, impairment losses are reversed when there is evidence that there has been a change
\n
in the estimates used to determine the asset\u2019s recoverable amount since the recognition of the last impairment loss.
\n
The reversal is recognized in the income statement to the extent that it reverses impairment losses previously recognized
\n
in the income statement. The carrying amount after reversal cannot exceed the amount that would have been recognized had
\n
no impairment taken place.
\n
Non-financial assets that only generate cash flows in combination with other assets and liabilities are tested for impairment
\n
at the level of the cash-generating unit. The goodwill acquired in a business combination, for the purpose of impairment testing,
\n
is allocated to cash-generating units, or groups of cash-generating units, that are expected to benefit from the synergies
\n
of the combination. The allocation is based on the level at which goodwill is monitored internally and cannot be larger than
\n
an operating segment. When impairing a cash-generating unit, any goodwill allocated to the unit is first written-off and
\n
recognized in the income statement. The remaining impairment loss is allocated on a pro rata basis among the other assets,
\non condition that the resulting carrying amounts do not fall below the individual assets\u2019 recoverable amounts.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfNonfinancialAssetsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21917": {
"value": "
b. Impairment of debt instruments
\n
Debt instruments are impaired if there is objective evidence that a credit event has occurred after the initial recognition
\n
of the asset that has a negative impact on the estimated future cash flows. Individually significant loans and other
\n
receivables are first assessed separately. All non-impaired assets measured at amortized cost are then grouped by credit risk
\n
characteristics and collectively tested for impairment.
For debt instruments carried at amortized cost, the carrying amount of impaired financial assets is reduced through
\n
an allowance account. The impairment loss is calculated as the difference between the carrying and recoverable amount
\n
of the investment. The recoverable amount is determined by discounting the estimated probable future cash flows
\n
at the original effective interest rate of the asset. For variable interest debt instruments, the current effective interest rate under
\n
the contract is applied.
\n
For debt instruments classified as available-for-sale, the asset is impaired to its fair value. Any unrealized loss previously
\n
recognized in other comprehensive income is taken to the income statement in the impairment loss. After impairment
\n
the interest accretion on debt instruments is recognized using the rate of interest used to discount the future cash flows for
\n
the purpose of measuring the impairment loss.
\n
Impairment losses recognized for debt instruments can be reversed if in subsequent periods the amount of the impairment
\n
loss decreases and that decrease can be objectively related to a credit event occurring after the impairment was recognized.
\n
For debt instruments carried at amortized cost, the carrying amount after reversal cannot exceed what the amortized cost
\n
would have been at the reversal date, had the impairment not been recognized.
\n
c. Impairment of equity instruments
\n
For equity instruments, objective evidence of impairment of an investment in an equity instrument classified as available-
\n
for-sale includes information about significant changes with an adverse effect that have taken place in the technological,
\n
market, economic or legal environment in which the issuer operates, and indicates that the cost of the investment in the equity
\n
instrument may not be recovered. A significant or prolonged decline in fair value below initial cost is also considered objective
\n
evidence of impairment and always results in a loss being recognized in the income statement. Significant or prolonged
\n
decline is defined as an unrealized loss position for generally more than six months or a fair value of less than 80% of the cost
\n
price of the investment. Equity investments are impaired to the asset\u2019s fair value and any unrealized gain or loss previously
\n
recognized in shareholders\u2019 equity is taken to the income statement as an impairment loss. The amount exceeding the balance
\n
of previously recognized unrealized gains or losses is recognized in the income statement. If an available-for-sale equity
\n
security is impaired based upon Aegon\u2019s qualitative or quantitative impairment criteria, any further declines in the fair value
\n
at subsequent reporting dates are recognized as impairments. Therefore, at each reporting period, for an equity security that
\n
is determined to be impaired based upon Aegon\u2019s impairment criteria, an impairment is recognized for the difference between
\n
the fair value and the original cost basis, less any previously recognized impairments.
\n
Impairment losses on equity instruments cannot be reversed.
2.31 Impairment charges/(reversals)
\n
Impairment charges and reversals include impairments and reversals on investments in financial assets, impairments and
\n
reversals on the valuation of insurance assets and other non-financial assets and receivables. Impairment of deferred policy
\n
acquisition costs is included in note 15 Impairment charges/ (reversals).
",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfFinancialAssetsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f21981": {
"value": "2.17 Equity
Financial instruments that are issued by the Group are classified as equity if they represent a residual interest in the assets
\n
of the Group after deducting all of its liabilities and the Group has an unconditional right to avoid delivering cash or another
\n
financial asset to settle its contractual obligation. In addition to common shares, the Group has issued perpetual securities.
\n
Perpetual securities have no final maturity date, repayment is at the discretion of Aegon and for junior perpetual capital
\n
securities, Aegon has the option to defer coupon payments at its discretion. The perpetual capital securities are classified
\n
as equity rather than debt, are measured at par and those that are denominated in US dollars are translated into euro using
\n
historical exchange rates.
\n
Non-cumulative subordinated notes were identified as a compound instrument due to the nature of this financial instrument.
\n
For these non-cumulative subordinated notes, Aegon had an unconditional right to avoid delivering cash or another
\n
financial asset to settle the coupon payments. The redemption of the principal was however not at the discretion of Aegon
\n
and therefore Aegon had a contractual obligation to settle the redemption in cash or another financial asset or through
\n
the exchange of financial assets and liabilities at potentially unfavorable conditions for Aegon. Compound instruments were
\n
separated into liability components and equity components. The liability component for the non-cumulative subordinated
\n
notes was equal to the present value of the redemption amount and carried at amortized cost using the effective interest
\n
Aegon Integrated Annual Report
2022 |
163
\n
Notes to the consolidated financial statements
Note 2
rate method. The unwinding of the discount of this component was recognized in the income statement. At initial recognition
\n
the equity component was assigned the residual amount after deducting the liability component from the fair value
\n
of the instrument as a whole. The equity component in US dollars was translated into euro using historical exchange rates.
\n
Incremental external costs that are directly attributable to the issuing or buying back of own equity instruments are recognized
\n
in equity, net of tax. For compound instruments incremental external costs that were directly attributable to the issuing
\n
or buying back of the compound instruments were recognized proportionate to the equity component and liability
\n
component, net of tax.
\n
The Group recognizes the income tax consequences of dividends in profit or loss, other comprehensive income or equity
\n
according to where it originally recognized the past transactions or events that generated the distributable profits. A liability for
\n
non-cumulative dividends payable is not recognized until the dividends have been declared and approved.
\n
Treasury shares are shares issued by Aegon N.V. that are held by Aegon, one of its subsidiaries or by another entity controlled
\n
by Aegon. Treasury shares are deducted from Group equity, regardless of the objective of the transaction. No gain or loss
\n
is recognized in the income statement on the purchase, sale, issue or cancellation of the instruments. If sold, the difference
\n
between the carrying amount and the proceeds is reflected in retained earnings. The consideration paid or received
\n
is recognized directly in shareholders\u2019 equity. All treasury shares are eliminated in the calculation of earnings per share and
\ndividend per common share.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForIssuedCapitalExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22026": {
"value": "Treasury shares are shares issued by Aegon N.V. that are held by Aegon, one of its subsidiaries or by another entity controlled
by Aegon. Treasury shares are deducted from Group equity, regardless of the objective of the transaction. No gain or loss
\n
is recognized in the income statement on the purchase, sale, issue or cancellation of the instruments. If sold, the difference
\n
between the carrying amount and the proceeds is reflected in retained earnings. The consideration paid or received
\n
is recognized directly in shareholders\u2019 equity. All treasury shares are eliminated in the calculation of earnings per share and
dividend per common share.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForTreasurySharesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22036": {
"value": "2.18 Trust pass-through securities and (subordinated) borrowings
A financial instrument issued by the Group is classified as a liability if the contractual obligation must be settled in cash
\n
or another financial asset or through the exchange of financial assets and liabilities at potentially unfavorable conditions
\n
for the Group.
\n
Trust pass-through securities and (subordinated) borrowings are initially recognized at their fair value including directly
\n
attributable transaction costs and are subsequently carried at amortized cost using the effective interest rate method, with
\n
the exception of specific borrowings that are designated as at fair value through profit or loss to eliminate, or significantly
\n
reduce, an accounting mismatch, or specific borrowings which are carried as at fair value through profit or loss as they are
\n
managed and evaluated on a fair value basis. The liability is derecognized when the Group\u2019s obligation under the contract
\n
expires, is discharged or is cancelled.
\n
Subordinated borrowings include the liability component of non-cumulative subordinated notes. These notes are identified
\n
as a compound instrument due to the nature of this financial instrument. Compound instruments are separated into
\n
equity components and liability components. The liability component for the non-cumulative subordinated notes is related
\n
to the redemption amount. For further information on the accounting policy of the non-cumulative subordinated notes refer
\nto note 2.17 Equity.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForBorrowingsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22054": {
"value": "2.19 Insurance contracts
Insurance contracts are accounted for under IFRS 4 Insurance Contracts. In accordance with this standard, Aegon continues
\n
to apply the existing accounting policies that were applied prior to the adoption of EU-IFRS with certain modifications allowed
\n
by IFRS 4 for standards effective subsequent to adoption. Aegon applies, in general, non-uniform accounting policies for
\n
insurance liabilities and insurance related intangible assets to the extent that it was allowed under Dutch Accounting Principles.
\n
As a result, specific methodologies applied may differ between Aegon\u2019s operations as they may reflect local regulatory
\n
requirements and local practices for specific product features in these local markets. At the time of EU-IFRS adoption, Aegon
\n
was applying US GAAP for its United States operations whereas in the Netherlands and the United Kingdom, Aegon was
\n
applying Dutch Accounting Principles. Since adoption of EU-IFRS, Aegon has considered new and amended standards in those
\n
GAAPs which have become effective subsequent to the date of transition to EU-IFRS. If any changes are made to current
\n
accounting policies for insurance contracts, these will be in accordance with IFRS 4.
\n
Insurance contracts are contracts under which the Group accepts a significant risk \u2013 other than a financial risk \u2013 from
\n
a policyholder by agreeing to compensate the beneficiary on the occurrence of an uncertain future event by which he or she
\n
will be adversely affected. Contracts that do not meet this definition are accounted for as investment contracts. The Group
\n
reviews homogeneous books of contracts to assess whether the underlying contracts transfer significant insurance risk on an
\n
individual basis. This is considered the case when at least one scenario with commercial substance can be identified in which
\n
|
Aegon Integrated Annual Report
2022
164
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
the Group has to pay significant additional benefits to the policyholder. Contracts that have been classified as insurance are
\n
not reclassified subsequently.
\n
Insurance liabilities are recognized when the contract is entered into and the premiums are charged. The liability
\n
is derecognized when the contract expires, is discharged, disposed or cancelled. Within the United States, the Netherlands
\n
and the United Kingdom, substantially modified contracts are accounted for as an extinguishment of the original liability and
\n
the recognition of a new liability.
\n
Insurance assets and liabilities are valued in accordance with the accounting principles that were applied by the Group prior
\n
to the transition to EU-IFRS and with consideration of standards effective subsequent to the date of transition to EU-IFRS,
\n
as further described in the following paragraphs. In order to reflect the specific nature of the products written, subsidiaries
\n
are allowed to apply local accounting principles to the measurement of insurance contracts. All valuation methods used
\n
by the subsidiaries are based on the general principle that the carrying amount of the net liability must be sufficient to meet any
\n
reasonably foreseeable obligation resulting from the insurance contracts.
\n
a. Life insurance contracts
\n
Life insurance contracts are insurance contracts with life-contingent benefits. The measurement of the liability for life insurance
\n
contracts varies depending on the nature of the product.
\n
Liabilities arising from traditional life insurance products that are offered by Aegon, particularly those with fixed and guaranteed
\n
account terms, are typically measured using the net premium method. Under this method the liability is determined as the sum
\n
of the discounted value of the expected benefits and future administration expenses directly related to the contract, less
\n
the discounted value of the expected theoretical premiums that would be required to meet the future cash outflows based
\n
on the valuation assumptions used. The liability is either based on current assumptions or calculated using the assumptions
\n
established at the time the contract was issued, in which case a margin for risk and adverse deviation is generally included.
\n
Furthermore, the liability for life insurance comprises reserves for unearned premiums and accrued annuity benefits payable.
\n
Depending on local accounting principles, the liability may include amounts for future services on contracts where the policy
\n
administration charges are higher in the initial years than in subsequent years.
\n
Terms and conditions, including participation features, are considered when establishing the insurance liabilities. Where
\n
the Group has discretion over the amount or timing of the bonuses distributed resulting from participation features, a liability
\n
is recognized equal to the amount that is available at the reporting date for future distribution to policyholders.
\n
In establishing the liability, guaranteed minimum benefits issued to the policyholder are measured as described in note
\n
2.19.c Embedded derivatives or, if bifurcated from the host contract, as described in note 2.9 Derivatives.
\n
b. Life insurance contracts for account of policyholders
\n
Life insurance contracts under which the policyholder bears the risks associated with the underlying investments are classified
\n
as insurance contracts for account of policyholders.
\n
The liability for the insurance contracts for account of policyholders is measured at the policyholder account balance.
\n
Contracts with unit-denominated payments are measured at current unit values, which reflect the fair values of the assets
\n
of the fund. If applicable, the liability representing the nominal value of the policyholder unit account is amortized over the term
\n
of the contract so that interest on actuarial funding is at an expected rate of return.
\n
c. Embedded derivatives
\n
Life insurance contracts may include derivative-like terms and conditions. With the exception of policyholder options
\n
to surrender the contract at a fixed amount, contractual features that are not closely related to the insurance contract and that
\n
do not themselves meet the definition of insurance contracts are accounted for as derivatives.
\n
Guaranteed minimum benefits
\n
Certain life insurance contracts, issued by the Group, contain guaranteed minimum benefits. Bifurcated guaranteed minimum
\n
benefits are classified as derivatives.
\n
Aegon Integrated Annual Report
2022 |
165
\n
Notes to the consolidated financial statements
Note 2
In the United States, the additional liability for guaranteed minimum benefits that are not bifurcated is determined each
\n
period by estimating the expected value of benefits in excess of the projected account balance and recognizing the excess
\n
over the accumulation period based on total expected assessments. The estimates are reviewed regularly and any resulting
\n
adjustment to the additional liability is recognized in the income statement. The benefits used in calculating the liabilities are
\n
commonly based on the average benefits payable over a range of stochastic scenarios. Where applicable, the calculation
\n
of the liability incorporates a percentage of the potential annuitizations that may be elected by the contract holder.
\n
In the Netherlands, an additional liability is established for guaranteed minimum investment returns on group pension plans
\n
with profit sharing and on traditional insurance contracts, with profit sharing based on an external interest index, that are not
\n
bifurcated. These guarantees are measured at fair value.
\n
d. Shadow accounting
\n
Shadow accounting allows that all gains and losses on investments affect the measurement of the insurance assets and
\n
liabilities in the same way, regardless of whether they are realized or unrealized and regardless of whether the unrealized
\n
gains and losses are recognized in the income statement or through other comprehensive income in the revaluation reserve.
\n
In some instances, realized gains or losses on investments have a direct effect on the measurement of the insurance assets
\n
and liabilities. For example, some insurance contracts include benefits that are contractually based on the investment returns
\n
realized by the insurer. In addition, realization of gains or losses on available-for-sale investments can lead to unlocking of VOBA
\n
or DPAC and can also affect the outcome of the liability adequacy test to the extent that it considers actual future investment
\n
returns. For similar changes in unrealized gains and losses, shadow accounting is applied. If an unrealized gain or loss triggers
\n
a shadow accounting adjustment to VOBA, DPAC or the insurance liabilities, the corresponding adjustment is recognized
\n
through other comprehensive income in the revaluation reserve, together with the unrealized gain or loss.
\n
Some profit sharing schemes issued by the Group entitle the policyholder to a bonus which is based on the actual total return
\n
on specific assets held. To the extent that the bonus relates to gains or losses on available-for-sale investments for which
\n
the unrealized gains or losses are recognized through other comprehensive income in the revaluation reserve in shareholders'
\n
equity, shadow accounting is applied. This means that the increase in the liability is also charged through other comprehensive
\n
income to shareholders' equity to offset the unrealized gains rather than to the income statement.
\n
e. Non-life insurance contracts
\n
Non-life insurance contracts are insurance contracts where the insured event is not life-contingent. For non-life products
\n
the insurance liability generally includes reserves for unearned premiums, unexpired risk, inadequate premium levels and
\n
outstanding claims and benefits. No catastrophe or equalization reserves are included in the measurement of the liability.
\n
The reserve for unearned premiums includes premiums received for risks that have not yet expired. Generally, the reserve
\n
is released over the coverage period of the premium and is recognized as premium income.
\n
The liability for outstanding claims and benefits is established for claims that have not been settled and any related cash flows,
\n
such as claims handling costs. It includes claims that have been incurred but have not been reported to the Group. The liability
\n
is calculated at the reporting date using statistical methods based on empirical data and current assumptions that may include
\n
a margin for adverse deviation. Liabilities for claims subject to periodic payment are calculated using actuarial methods
\n
consistent with those applied to life insurance contracts. Discounting is applied if allowed by the local accounting principles
\n
used to measure the insurance liabilities. Discounting of liabilities is generally applied when there is a high level of certainty
\n
concerning the amount and settlement term of the cash outflows.
\n
f. Liability adequacy testing
\n
At each reporting date, the adequacy of the life insurance liabilities (including life insurance contracts for account
\n
of policyholders), net of VOBA and DPAC, is assessed using a liability adequacy test.
\n
All tests performed within the Group are based on current estimates of all contractual future cash flows, including related
\n
cash flows from policyholder options and guarantees. A number of valuation methods are applied, including discounted
\n
cash flow methods, option pricing models and stochastic modeling. Aggregation levels are set either on geographical
\n
jurisdiction or at the level of portfolio of contracts that are subject to broadly similar risks and managed together as a single
\n
portfolio. Specifically, in the Netherlands the liability adequacy test is performed on a consolidated basis for all life and
\n
non-life business, whereas in the Americas and the UK it is performed at the level of the portfolio of contracts. To the extent
\n
that the tests involve discounting of future cash flows, the interest rate applied is based on market rates or is based
\n
|
Aegon Integrated Annual Report
2022
166
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
on management\u2019s expectation of the future return on investments. These future returns on investments take into account
\n
management\u2019s best estimate related to the actual investments and, where applicable, reinvestments of these investments
\n
at maturity. Aegon the Netherlands, as required locally, adjusts the outcome of the liability adequacy test for the difference
\n
between the fair value and the book value of the assets that are measured at amortized cost in the statement of financial
\n
position. For details on the fair value (measurement) of Aegon's assets and liabilities, please refer to note 44 Fair value.
\n
Only differences between the fair value and the book value build up during the period when the assets were allocated
\n
to the insurance portfolio are included in the LAT.
\n
To the extent that the account balances are insufficient to meet future benefits and expenses, any resulting deficiency
\n
is recognized in the income statement, initially by impairing the DPAC and VOBA and subsequently by establishing an insurance
\n
liability for the remaining loss, unless shadow loss recognition has taken place. In the Netherlands, in situations where market
\n
interest rates for the valuation of debt securities lead to a change in the revaluation reserve, and where the result of using
\n
the same assumptions for the liabilities could lead to a deficiency in the liability adequacy test that should be recognized
\n
in the income statement, shadow loss recognition is applied. Shadow loss recognition is applied to the extent that
\n
the deficiency of the insurance liabilities relates to the revaluation of debt securities as a result of movements in interest rates,
\n
the addition to the insurance liabilities is then offset against the revaluation reserve. If in subsequent periods such a deficiency
\n
of the insurance liability is no longer applicable, shadow loss recognition is reversed via the revaluation reserve.
\n
The adequacy of the non-life insurance liability is tested at each reporting date. Changes in expected claims that have occurred,
\n
but that have not been settled, are reflected by adjusting the liability for claims and future benefits. The reserve for unexpired
\n
risk is increased to the extent that the future claims and expenses in respect of current insurance contracts exceed the future
\npremiums plus the current unearned premium reserve.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForInsuranceContracts",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22299": {
"value": "2.21 Provisions
A provision is recognized for present legal or constructive obligations arising from past events, when it is probable that
\n
it will result in an outflow of economic benefits and the amount can be reliably estimated. Management exercises judgment
\n
in evaluating the probability that a loss will be incurred.
\n
The amount recognized as a provision is the best estimate of the expenditure required to settle the present obligation
\n
at the reporting date, considering all its inherent risks and uncertainties, as well as the time value of money. The estimate
\n
of the amount of a loss requires management judgment in the selection of a proper calculation model and the specific
\n
assumptions related to the particular exposure. The unwinding of the effect of discounting is recorded in the income statement
\n
as an interest expense.
\n
Onerous contracts
\n
With the exception of insurance contracts and investment contracts with discretionary participation features for which potential
\n
future losses are already considered in establishing the liability, a provision is recognized for onerous contracts in which
\n
the unavoidable costs of meeting the resulting obligations exceed the expected future economic benefits. The unavoidable
\n
costs under a contract reflect the least net cost of exiting from the contract, which is the lower of the cost of fulfilling it and any
\ncompensation or penalties arising from failure to fulfill it.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForProvisionsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22317": {
"value": "2.22 Assets and liabilities relating to employee benefits
a. Short-term employee benefits
\n
A liability is recognized for the undiscounted amount of short-term employee benefits expected to be settled within one
\n
year after the end of the period in which the service was rendered. Accumulating short-term absences are recognized over
\n
the period in which the service is provided. Benefits that are not service-related are recognized when the event that gives rise
\n
to the obligation occurs.
\n
b. Post-employment benefits
\n
The Group has issued defined contribution plans and defined benefit plans. A plan is classified as a defined contribution plan
\n
when the Group has no further obligation than the payment of a fixed contribution. All other plans are classified as defined
\n
benefit plans.
\n
Defined contribution plans
\n
The contribution payable to a defined contribution plan for services provided is recognized as an expense in the income
\n
statement. An asset is recognized to the extent that the contribution paid exceeds the amount due for services provided.
\n
Defined benefit plans
\n
Measurement
\n
The defined benefit obligation is based on the terms and conditions of the plan applicable on the reporting date. In measuring
\n
the defined benefit obligation the Group uses the projected unit credit method and actuarial assumptions that represent
\n
the management's best estimates. The benefits are discounted using an interest rate based on the market yield for high-quality
\n
corporate bonds that are denominated in the currency in which the benefits will be paid and that have terms to maturity that
\n
|
Aegon Integrated Annual Report
2022
168
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
approximate the terms of the related pension liability. Actuarial assumptions used in the measurement of the liability include
\n
the discount rate, estimated future salary increases, mortality rates and price inflation. To the extent that actual experience
\n
deviates from these assumptions, the valuation of defined benefit plans and the level of pension expenses recognized
\n
in the future may be affected. Plan improvements (either vested or unvested) are recognized in the income statement
\n
at the date when the plan improvement occurs.
\n
Plan assets are qualifying insurance policies and assets held by long-term employee benefit funds that can only be used to pay
\n
the employee benefits under the plan and are not available to the Group\u2019s creditors. They are measured at fair value and are
\n
deducted from the defined benefit obligation in determining the amount recognized on the statement of financial position.
\n
Profit or loss recognition
\n
The cost of the defined benefit plans are determined at the beginning of the year and comprise the following components:
\n
\u2022
\n
Current year service cost which is recognized in profit or loss; and
\n
\u2022
\n
Net interest on the net defined benefit liability (asset) which is recognized in profit or loss.
\n
Remeasurements of the net defined benefit liability (asset) which is recognized in other comprehensive income are revisited
\n
quarterly and are not allowed to be reclassified to profit or loss in a subsequent period.
\n
Deducted from current year service cost are discretionary employee contributions and employee contributions that are
\n
linked to service (those which are independent of the number of years of service). Net interest on the net defined benefit
\n
liability (asset) is determined by multiplying the net defined benefit liability (asset) by the applicable discount rate. Net
\n
interest on the net defined benefit liability (asset) comprises interest income on plan assets and interest cost on the defined
\n
benefit obligation. Whereby interest income on plan assets is a component of the return on plan assets and is determined
\n
by multiplying the fair value of the plan assets by the applicable discount rate. The difference between the interest income
\n
on plan assets and the actual return on plan assets is included in the remeasurement of the net defined benefit liability (asset).
\n
Remeasurements of the net defined benefit liability (asset) comprise of:
\n
\u2022
\n
Actuarial gains and losses;
\n
\u2022
\n
The return on plan assets, excluding amounts included in net interest on the net defined benefit liability (asset); and
\n
\u2022
\n
Any change in the effect of the asset ceiling, excluding amounts included in net interest on the net defined benefit liability
\n
(asset).
\n
Past service cost and gains or losses on settlements
\n
Past service cost is the change in the present value of the defined benefit obligation for employee service, resulting from a plan
\n
amendment or curtailment.
\n
Gains or losses on curtailments or settlements of a defined benefit plan comprise of the difference between:
\n
\u2022
\n
The present value of the defined benefit obligation being settled, as determined on the date of settlement; and
\n
\u2022
\n
The settlement price, including any plan assets transferred and any payments made directly by Aegon in connection with the
\n
settlement.
\n
Aegon recognizes (in the income statement) gains or losses on the curtailment or settlement of a defined benefit plan when
\n
the curtailment or settlement occurs.
\n
c. Share-based payments
\n
The Group has issued share-based plans that entitle selected employees to receive Aegon N.V. common shares, subject
\n
to pre-defined conditions such as the grant price of the shares and (business and personal) performance criteria. The number
\n
of shares that will vest may partly depend on Aegon\u2019s relative total shareholder return in comparison with a peer group.
\n
The expenses recognized for these plans are based on the fair value on the grant date of the shares. The fair value is measured
\n
at the market price of Aegon N.V. common shares, adjusted to take into account the non-vesting and market conditions upon
\n
which the shares were granted. For example, where the employee is not entitled to receive dividends during the vesting
\n
period, this factor is taken into account when estimating the fair value of the shares granted. For the determination of factors
\n
such as expected dividends, market observable data has been considered. In addition, where the relative total shareholder
\n
return is included in the performance criteria, this factor represents a market condition and hence is taken into account when
\n
estimating the fair value of the shares granted.
\n
Aegon Integrated Annual Report
2022 |
169
\n
Notes to the consolidated financial statements
Note 2
The cost for long term incentive plans are recognized in the income statement, together with a corresponding increase
\n
in shareholders\u2019 equity, as the services are rendered. During this period the cumulative expense recognized at the reporting
\n
date reflects management\u2019s best estimate of the number of shares expected to vest ultimately.
\n
The withholding of shares to fund the payment to the tax authorities in respect of the employee\u2019s withholding tax obligation
\n
associated with the share-based payment is accounted for as a deduction from equity for the shares withheld, except
\nto the extent that the payment exceeds the fair value at the net settlement date of the equity instruments withheld.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForEmployeeBenefitsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22401": {
"value": "c. Share-based payments
The Group has issued share-based plans that entitle selected employees to receive Aegon N.V. common shares, subject
\n
to pre-defined conditions such as the grant price of the shares and (business and personal) performance criteria. The number
\n
of shares that will vest may partly depend on Aegon\u2019s relative total shareholder return in comparison with a peer group.
\n
The expenses recognized for these plans are based on the fair value on the grant date of the shares. The fair value is measured
\n
at the market price of Aegon N.V. common shares, adjusted to take into account the non-vesting and market conditions upon
\n
which the shares were granted. For example, where the employee is not entitled to receive dividends during the vesting
\n
period, this factor is taken into account when estimating the fair value of the shares granted. For the determination of factors
\n
such as expected dividends, market observable data has been considered. In addition, where the relative total shareholder
\n
return is included in the performance criteria, this factor represents a market condition and hence is taken into account when
\n
estimating the fair value of the shares granted.
\n
Aegon Integrated Annual Report
2022 |
169
\n
Notes to the consolidated financial statements
Note 2
The cost for long term incentive plans are recognized in the income statement, together with a corresponding increase
\n
in shareholders\u2019 equity, as the services are rendered. During this period the cumulative expense recognized at the reporting
\n
date reflects management\u2019s best estimate of the number of shares expected to vest ultimately.
\n
The withholding of shares to fund the payment to the tax authorities in respect of the employee\u2019s withholding tax obligation
\n
associated with the share-based payment is accounted for as a deduction from equity for the shares withheld, except
\nto the extent that the payment exceeds the fair value at the net settlement date of the equity instruments withheld.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForSharebasedPaymentTransactionsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22446": {
"value": "2.24 Taxation
The income tax charge on the result for the year comprises current and deferred tax. Current tax is calculated taking into
\n
account items that are non-taxable or disallowed, using rates that have been enacted or substantively enacted by the reporting
\n
date and any adjustments to tax payable relating to previous years.
\n
Current tax receivables and payables for current and prior periods reflect the best estimate of the tax amount expected to be
\n
paid or received and includes provisions for uncertain income tax positions, if any.
\n
Deferred tax assets and liabilities are recognized, using the liability method, for temporary differences arising between
\n
the carrying value and tax value of an item on the balance sheet and for unused tax losses and credits carried forward.
\n
Deferred tax assets and liabilities are measured using tax rates applicable that have been enacted or substantively
\n
enacted at the balance sheet date and are expected to apply when the deferred tax asset is realized, or the deferred tax
\n
liability is settled.
\n
Deferred tax assets are recognized for deductible temporary differences and unused tax losses and credits carried
\n
forward to the extent that the realization of the related tax benefit through future taxable profits is probable. The recognition
\n
of the deferred tax assets is based on Aegon\u2019s mid-term projections including sensitivities and tax planning and is reassessed
\n
periodically. Deferred tax liabilities relating to investments in subsidiaries, associates and joint ventures are not recognized
\n
if the Group is able to control the timing of the reversal of the temporary difference and it is probable that the difference will not
\n
be reversed in the foreseeable future.
\n
Tax assets and liabilities are presented separately in the consolidated balance sheet except where there is a legally
\n
enforceable right to offset the tax assets against tax liabilities within the same tax jurisdiction and the intention to settle such
\n
balances on a net basis.
\n
Tax assets and liabilities are recognized in relation to the underlying transaction either in profit and loss, other comprehensive
\nincome or directly in equity. ",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForIncomeTaxExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22454": {
"value": "Deferred tax assets and liabilities are recognized, using the liability method, for temporary differences arising between
the carrying value and tax value of an item on the balance sheet and for unused tax losses and credits carried forward.
\n
Deferred tax assets and liabilities are measured using tax rates applicable that have been enacted or substantively
\n
enacted at the balance sheet date and are expected to apply when the deferred tax asset is realized, or the deferred tax
\n
liability is settled.
\n
Deferred tax assets are recognized for deductible temporary differences and unused tax losses and credits carried
\n
forward to the extent that the realization of the related tax benefit through future taxable profits is probable. The recognition
\n
of the deferred tax assets is based on Aegon\u2019s mid-term projections including sensitivities and tax planning and is reassessed
\n
periodically. Deferred tax liabilities relating to investments in subsidiaries, associates and joint ventures are not recognized
\n
if the Group is able to control the timing of the reversal of the temporary difference and it is probable that the difference will not
\n
be reversed in the foreseeable future.
\n
Tax assets and liabilities are presented separately in the consolidated balance sheet except where there is a legally
\n
enforceable right to offset the tax assets against tax liabilities within the same tax jurisdiction and the intention to settle such
\n
balances on a net basis.
\n
Tax assets and liabilities are recognized in relation to the underlying transaction either in profit and loss, other comprehensive
income or directly in equity. ",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForDeferredIncomeTaxExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22474": {
"value": "2.25 Contingent assets and liabilities
Contingent assets are disclosed in the notes if the inflow of economic benefits is probable, but not virtually certain. When
\n
the inflow of economic benefits becomes virtually certain, the asset is no longer contingent and its recognition is appropriate.
\n
A provision is recognized for present legal or constructive obligations arising from past events, when it is probable that it will
\n
result in an outflow of economic benefits and the amount can be reliably estimated. If the outflow of economic benefits is not
\nprobable, a contingent liability is disclosed, unless the possibility of an outflow of economic benefits is remote. ",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForContingentLiabilitiesAndContingentAssetsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22518": {
"value": "2.28 Fee and commission income
Fees and commissions from investment management services and mutual funds are performed on an ongoing basis evenly
\n
throughout the year and are accounted for monthly (1/12 of the contractual agreement). Performance fees may be charged
\n
to policyholders in the event of outperformance in the investments compared to predefined benchmark levels. They are
\n
accounted for only when specified hurdles for generating performance fees are achieved i.e. when the full performance
\n
obligation is met.
\n
Aegon acts also as an insurance broker selling insurance contracts of other insurance companies to policyholders and
\n
receiving direct sales commission as well as commissions over time when the same policyholders renew their contracts. These
\ncommissions are recognized only when received as policyholders\u2019 renewals are not certain enough to be recorded upfront.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForFeeAndCommissionIncomeAndExpenseExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22578": {
"value": "2.32 Interest charges and related fees
Interest charges and related fees includes interest expense on trust pass-through securities and other borrowings. Interest
\n
expense on trust pass-through securities and other borrowings carried at amortized cost is recognized in profit or loss using
\nthe effective interest method.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForInterestIncomeAndExpenseExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22585": {
"value": "2.33 Leases
As a lessee
\n
The Group recognizes a right-of-use asset and a lease liability at the lease commencement date. The right-of-use asset
\n
is initially measured at cost, which comprises the initial amount of the lease liability adjusted for any lease payments made
\n
at or before the commencement date, plus any initial direct costs incurred and an estimate of costs to dismantle and remove
\n
the underlying asset or to restore the underlying asset or the site on which it is located, less any lease incentives received.
\n
The right-of-use asset is subsequently depreciated using the straight-line method from the commencement date to the earlier
\n
of the end of the useful life of the right-of-use asset or the end of the lease term. The estimated useful lives of right-of-
\n
use assets are determined on the same basis as those of real estate and equipment. In addition, the right-of-use asset
\n
is periodically reduced by impairment losses (using the same rate to measure the lease liability), if any, and adjusted for certain
\n
remeasurements of the lease liability.
\n
The lease liability is initially measured at the present value of the lease payments that are not paid at the commencement date,
\n
discounted using the interest rate implicit in the lease or, if that rate cannot be readily determined, the Group\u2019s incremental
\n
borrowing rate. Generally, the Group uses its incremental borrowing rate as the discount rate. The lease liability is measured
\n
at amortized cost using the effective interest method. It is remeasured when there is a change in future lease payments
\n
arising from a change in an index or rate, if there is a change in the Group\u2019s estimate of the amount expected to be payable
\n
under a residual value guarantee, or if the Group changes its assessment of whether it will exercise a purchase, extension
\n
or termination option. The Group presents right-of-use assets that do not meet the definition of investment property in \u2018Other
\n
assets and receivables\u2019 and lease liabilities in \u2018Other liabilities\u2019 in the statement of financial position.
\n
Short-term leases and leases of low-value assets The Group has elected not to recognize right-of-use assets and lease
\n
liabilities for short-term leases that have a lease term of 12 months or less and leases of low-value assets, including small
\n
office equipment. The Group recognizes the lease payments associated with these leases as an expense on a straight-line
\n
basis over the lease term.
\n
As a lessor
\n
Where the Group is the lessor under an operating lease, the assets subject to the operating lease arrangement are
\n
presented in the statement of financial position according to the nature of the asset. Income from these leases is recognized
\n
in the income statement on a straight line basis over the lease term, unless another systematic basis is more representative
\nof the time pattern in which use benefit derived from the leased asset is diminished. ",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForLeasesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22641": {
"value": "3 Critical accounting estimates and judgment in applying accounting policies
Application of the accounting policies in the preparation of the financial statements requires management to apply judgment
\n
involving assumptions and estimates concerning future results or other developments, including the likelihood, timing
\n
or amount of future transactions or events. Those estimates are inherently subject to change and actual results could differ
\n
from those estimates. Included among the material (or potentially material) reported amounts and disclosures that require
\n
extensive use of estimates are: fair value of certain invested assets and derivatives, deferred policy acquisition costs (please
\n
refer to paragraph 2.13), value of business acquired and other purchased intangible assets (please refer to paragraph
\n
2.6), goodwill (please refer to paragraph 2.6), policyholder claims and benefits (please refer to paragraph 2.29), insurance
\n
guarantees (please refer to paragraph 2.19), pension plans (please refer to paragraph 2.22), income taxes (please refer
\n
to paragraph 2.24) and the potential effects of resolving litigation matters (please refer to paragraph 2.25). Accounting policies
\n
that are critical to the financial statement presentation and that require complex estimates or significant judgment are
\n
described in the following sections.
\n
Macro-economic context
\n
In 2022, the Russian invasion of Ukraine caused a humanitarian crisis and also impacted global financial markets and caused
\n
significant economic turbulence. Aegon closely monitors financial and wider economic developments to understand our
\n
exposure to potential shocks in the markets where we invest, and Aegon works proactively to mitigate related risks.
\n
The inflation rates for the main economies that Aegon is exposed to increased significantly. Aegon has implemented an inflation
\n
hedge covering liabilities with conditional indexation rights in the Netherlands to address the uncertainty around the rise
\n
in inflation. In the United States, the inflation risk within long-term care claims derives primarily from wage inflation, which
\n
Aegon mitigate by offering customers downgrades of the maximum daily benefit as an alternative to premium rate increases.
\n
In addition, Aegon\u2019s expense savings program helps to mitigate the impact of rising inflation.
\n
High inflation has prompted central banks to start raising interest rates significantly. As a consequence, interest rates have
\n
increased significantly in Aegon\u2019s main markets compared to December 31, 2021. Equity markets in Aegon\u2019s three main
\n
markets decreased in 2022 compared to an increase of equity markets in 2021. Additionally, credit spreads have widened
\n
in 2022 and affected Aegon\u2019s results negatively.
\n
Uncertainty resulting from COVID-19
\n
In 2022 the COVID-19 pandemic continued to cause disruption to business, markets, and the industry. Progress
\n
on vaccinations has reduced the spread of COVID-19 and will likely continue to reduce the effects of the public health
\n
crisis on the economy. However, the pace of vaccinations has slowed down, and new strains of the virus and reduced
\n
availability of healthcare remain risks.
\n
In 2022, Aegon\u2019s operating result in the Americas was impacted by EUR 147 million of adverse mortality in Life (2021:
\n
EUR 345 million). Claims directly attributable to COVID-19 as the cause of death are the main driver for the adverse mortality.
\n
Compared to 2021, US COVID-19 related claims have declined significantly in 2022. Favorable morbidity experience
\n
in Accident & Health and is mostly related to Long-Term Care insurance with higher claims terminations due to higher mortality
\n
and discharges from care facilities. In 2022, Aegon continued to observe positive morbidity in Long-Term Care, but less
\n
favorable when compared to prior year. By the end of 2022, LTC morbidity was close to expectations. During 2022, Aegon
\n
released the remaining Long-Term Care incurred but not reported (IBNR) reserve established during the peak of the pandemic.
\n
As part of its normal process, Aegon has updated its sensitivity analysis for the impact of changes in financial assumptions
\n
on its IFRS equity and net result included in note 4 Financial risks.
\n
Aegon continues to monitor the relevant market and the economic factors to proactively manage the associated risks.
\n
Management believes that the most significant risks are related to financial markets (particularly credit, equity, and interest
\n
rates risks) and underwriting risks (particularly related to mortality, morbidity, and policyholder behavior).
\n
Management's assessment of going concern
\n
The consolidated financial statements of Aegon have been prepared assuming a going concern basis of accounting
\n
based on the reasonable assumption that the Company is, and will be, able to continue its normal course of business
\n
in the foreseeable future. Relevant facts and circumstances relating to the consolidated financial position on December 31,
\n
2022, were assessed in order to reach the going concern assumption. The main areas assessed are the financial performance,
\n
capital adequacy, financial position and flexibility, liquidity, ability to access capital markets, leverage ratios and the level
\n
of Cash Capital at Holding. For further details refer to note 43 Capital management and solvency. Considering all these
\n
Aegon Integrated Annual Report
2022 |
173
\n
Notes to the consolidated financial statements
Note 3
\n
\n
areas management concluded that the going concern assumption for Aegon is appropriate in preparing the consolidated
\n
financial statements.
\n
Valuation of assets and liabilities arising from life insurance contracts
\n
The valuation of certain assets and liabilities arising from insurance contracts is developed using complex valuation models.
\n
The liability for life insurance contracts with guaranteed or fixed account terms is either based on current assumptions,
\n
on the assumptions established at inception of the contract, reflecting the best estimates at the time increased with a margin
\n
for adverse deviation, or on the valuation assumptions (historical cost), without risk margin. All contracts are subject to liability
\n
adequacy testing which reflects management\u2019s current estimates of future cash flows (including investment returns).
\n
To the extent that the liability is based on current assumptions, a change in assumptions will have an immediate impact
\n
on the income statement. Also, if a change in assumption results in not passing the liability adequacy test, the entire deficiency
\n
is recognized in the income statement. To the extent that the deficiency relates to unrealized gains and losses on available-for-
\n
sale investments, the additional liability is recognized through other comprehensive income in the related revaluation reserve
\n
in shareholders' equity.
\n
Aegon the Netherlands, as required locally, adjusts the outcome of the liability adequacy test for the difference between the fair
\n
value and the book value of the assets that are measured at amortized cost in the statement of financial position. Mortgage
\n
loans and private loans are the primary asset classes for which the difference between the fair value and the book value
\n
of assets impacts the LAT. For details on the fair value (measurement) of Aegon's assets and liabilities, please refer to note
\n
44 Fair value and to note 51 Discontinued operations.
\n
Some insurance contracts without a guaranteed or fixed contractual term contain guaranteed minimum benefits. Depending
\n
on the nature of the guarantee, it may either be bifurcated and presented as a derivative, or be reflected in the value
\n
of the insurance liability in accordance with local accounting principles. Given the dynamic and complex nature of these
\n
guarantees, stochastic techniques under a variety of market return scenarios are often used for measurement purposes. Such
\n
models require management to make numerous estimates based on historical experience and market expectations. Changes
\n
in these estimates will immediately affect the income statement. Refer to note 36 \"Guarantees in insurance contracts\" for more
\n
information.
\n
In addition, certain acquisition costs related to the sale of new policies and the purchase of policies already in force are
\n
recorded as DPAC and VOBA assets respectively, and are amortized to the income statement over time. If the assumptions
\n
relating to the future profitability of these policies are not realized, the amortization of these costs could be accelerated and
\n
may require write-offs due to unrecoverability.
\n
Actuarial and economic assumptions
\n
The main assumptions used in measuring DPAC, VOBA and the liabilities for life insurance contracts with fixed or guaranteed
\n
terms relate to mortality, morbidity, investment return and future expenses. Depending on local accounting principles,
\n
surrender, lapse, and utilization rates may be considered.
\n
Mortality tables applied are generally developed based on a blend of company experience and industry wide studies, taking
\n
into consideration product characteristics, own risk selection criteria, target market and past experience. Mortality experience
\n
is monitored through regular studies, the results of which are fed into the pricing cycle for new products and reflected
\n
in the liability calculation when appropriate. For contracts insuring survivorship or mortality, allowance may be made for further
\n
longevity or mortality improvements. Morbidity assumptions are based on own claims severity and frequency experience,
\n
adjusted where appropriate for industry information.
\n
Investment assumptions are prescribed by the local regulator, market observable or based on management\u2019s future
\n
expectations. In the latter case, the anticipated future investment returns are set by management on a countrywide basis,
\n
considering available market information and economic indicators. A significant assumption related to estimated gross profits
\n
on variable annuities and variable life insurance products in the United States and some of the smaller countries, is the annual
\n
long-term growth rate of the underlying assets. The reconsideration of this assumption may affect the original DPAC or VOBA
\n
amortization schedule, referred to as DPAC or VOBA unlocking. The difference between the original DPAC or VOBA amortization
\n
schedule and the revised schedule, which is based on actual and estimates of future gross profits, is recognized in the income
\n
statement as an expense or a benefit in the period of determination.
\n
|
Aegon Integrated Annual Report
2022
174
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Assumptions on future expenses are based on the current level of expenses, adjusted for expected expense inflation
\n
if appropriate. In Aegon the Netherlands, the expense basis makes an allowance for planned future cost savings, which are
\n
included in the liability adequacy test.
\n
Surrender and lapse rates depend on product features, policy duration and external circumstances such as the interest
\n
rate environment and competitor behavior. For policies with account value guarantees based on equity market movements,
\n
a dynamic lapse assumption is utilized to reflect policyholder behavior based on whether the guarantee is in the money.
\n
Own experience, as well as industry published data, are used in establishing assumptions. Lapse experience is correlated
\n
to mortality and morbidity levels, as higher or lower levels of surrenders may indicate future claims will be higher or lower than
\n
anticipated. Such correlations are accounted for in the mortality and morbidity assumptions based on the emerging analysis
\n
of experience.
\n
Actuarial assumption and model updates
\n
Assumptions are reviewed periodically in the second quarter for the Americas and in the fourth quarter for Europe and Asia,
\n
based on historical experience, observable market data, including market transactions such as acquisitions and reinsurance
\n
transactions, anticipated trends and legislative changes. Similarly, the models and systems used for determining our liabilities
\n
are reviewed periodically and, if deemed necessary, updated based on emerging best practices and available technology.
\n
During 2022, Aegon implemented actuarial assumption and model updates resulting in a net EUR 480 million charge to result
\n
before tax (2021: EUR 298 million charge). This is mainly related to Aegon\u2019s businesses in the Americas and the Netherlands.
\n
Assumption changes and model updates in the Americas led to a net adverse impact of EUR 354 million and is mainly driven
\n
by charges from reinsurance rate increases and various actuarial assumption updates. The latter mainly related to updated
\n
policyholder behaviour and mortality assumption in Individual Life.
\n
Assumption changes and model updates in the Netherlands led to an unfavorable impact of EUR 118 million and is mainly
\n
related to adverse impacts of the annual update of the mortgage conditional prepayment rate and expense methodology.
\n
For the years 2020 through 2022, Aegon kept its long-term equity market return assumption for the estimated gross profits
\n
on variable life and variable annuity products in the Americas at 8%. The long term credit spread assumption, net of assumed
\n
defaults and expenses, on our most common corporate bonds is 120bps. The 90-day Treasury yield was 4.70%, 0.14% and
\n
0.15% at December 31, 2022, 2021 and 2020 respectively. During 2022, the 90-day Treasury yield was assumed to have
\n
a uniform grading over 10 years to 2.25%, which was a change from the assumption during 2021 and 2020 of grading over
\n
10 years to 2.0% and 1.5%, respectively. On a quarterly basis, the estimated gross profits are updated for the difference
\n
between the estimated market return and the actual market return.
\n
Sensitivities
\n
Please note that the sensitivities listed in the disclosures below represent sensitivities to Aegon\u2019s position at the balance
\n
sheet date for the respective years, and are measured in accordance with IFRS 4 and IAS 39. The sensitivities reflect single
\n
shocks where other elements remain unchanged. Real world market impacts (e.g. lower interest rates and declining equity
\n
markets) may happen simultaneously which can lead to more severe combined impacts and may not be equal to the sum
\n
of the individual sensitivities presented in the disclosure.
\n
Aegon Integrated Annual Report
2022 |
175
\n
Notes to the consolidated financial statements
Note 3
Sensitivity on variable annuities and variable life insurance products in the United States
\n
Sensitivity analysis of DPAC and VOBA balances to changes in in expected long-term equity growth rate
\n
2022
2021
\n
Estimated approximate effect
DPAC /VOBA
DPAC /VOBA
\n
1% decrease in the expected long-term equity growth rate
(113)
(95)
\n
The DPAC and VOBA balances for these products in the United States amounted to EUR 2.1 billion at December 31, 2022
\n
(2021: EUR 2.1 billion).
\n
Sensitivity analysis of net result to changes in various underwriting risks
\n
2022
2021
\n
Estimated approximate effect
Net Result
Net Result
\n
10% increase to mortality assumption
(222)
(128)
\n
20% increase in the lapse rate assumption
15
71
\n
Any reasonably possible changes in the other assumptions Aegon uses to determine EGP margins (i.e. maintenance expenses)
\n
would reduce net result by less than EUR 14 million (2021: EUR 8 million).
\n
Sensitivity on long term care (LTC) products in the United States
\n
After tax sensitivities of significant product liability assumptions on the LTC IFRS after-tax Gross Present Value Reserve (GPV)
\n
are indicated below. The GPV is the liability as determined on a best estimate assumption basis.
\n
Sensitivity analysis of GPV to changes in various underwriting risks
\n
2022
2021
\n
Estimated approximate effect
GPV
GPV
\n
5% increase in the utilization rates
208
195
\n
5% decrease in the utilization rates
(222)
(201)
\n
10% decrease expected mortality
129
122
\n
10% increase expected mortality
(123)
(114)
\n
Removing the morbidity improvement assumption, which is a component of the utilization assumption, would result in a GPV
\n
increase of approximately EUR 349 million (2021: EUR 309 million), of which EUR 233 million (2021: EUR 194 million) relates
\n
to the loss recognition block.
\n
Removing future mortality improvement would result in a GPV decrease of approximately EUR 100 million
\n
(2021: EUR 112 million).
\n
Determination of fair value and fair value hierarchy
\n
The following is a description of Aegon\u2019s methods of determining fair value, and a quantification of its exposure to assets and
\n
liabilities measured at fair value.
\n
Fair value is defined as the amount that would be received from the sale of an asset or paid to transfer a liability in an orderly
\n
transaction between market participants at the measurement date under current market conditions (i.e. an exit price at the
\n
measurement date from the perspective of a market participant that holds the asset or owes the liability). A fair value
\n
measurement assumes that the transaction to sell the asset or transfer the liability takes place either:
\n
\u2022
\n
In the principal market for the asset or liability; or
\n
\u2022
\n
In the absence of a principal market, in the most advantageous market for the asset or liability.
\n
|
Aegon Integrated Annual Report
2022
176
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Aegon uses the following hierarchy for measuring and disclosing of the fair value of assets and liabilities:
\n
\u2022
\n
Level I: quoted prices (unadjusted) in active markets for identical assets or liabilities that Aegon can access at the
\n
measurement date;
\n
\u2022
\n
Level II: inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly
\n
(that is, as prices) or indirectly (that is, derived from prices of identical or similar assets and liabilities) using valuation
\n
techniques for which all significant inputs are based on observable market data; and
\n
\u2022
\n
Level III: inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) using
\n
valuation techniques for which any significant input is not based on observable market data.
\n
The best evidence of fair value is a quoted price in an actively traded market. In the event that the market for a financial
\n
instrument is not active or quoted market prices are not available, a valuation technique is used.
\n
The degree of judgment used in measuring the fair value of assets and liabilities generally inversely correlates with the level
\n
of observable valuation inputs. Aegon maximizes the use of observable inputs and minimizes the use of unobservable valuation
\n
inputs when measuring fair value. Financial instruments, for example, with quoted prices in active markets generally have more
\n
pricing observability and therefore less judgment is used in measuring fair value. Conversely, financial instruments for which
\n
no quoted prices are available have less observability and are measured at fair value using valuation models or other pricing
\n
techniques that require more judgment.
\n
The assets and liabilities categorization within the fair value hierarchy is based on the lowest input that is significant to the fair
\n
value measurement.
\n
An active market is one in which transactions for the asset or liability take place with sufficient frequency and volume to provide
\n
pricing information on an ongoing basis. The judgment as to whether a market is active may include, although not necessarily
\n
determinative, lower transaction volumes, reduced transaction sizes and, in some cases, no observable trading activity
\n
for short periods. In inactive markets, assurance is obtained that the transaction price provides evidence of fair value or it
\n
is determined that adjustments to transaction prices are necessary to measure the fair value of the instrument.
\n
The majority of valuation techniques employ only observable market data, and so the reliability of the fair value measurement
\n
is high. However, certain assets and liabilities are valued on the basis of valuation techniques that feature one or more
\n
significant market inputs that are unobservable and, for such assets and liabilities, the derivation of fair value is more
\n
judgmental. An instrument is classified in its entirety as valued using significant unobservable inputs (Level III) if, in the opinion
\n
of management, a significant proportion of the instrument\u2019s carrying amount is driven by unobservable inputs. 'Unobservable'
\n
in this context means that there is little or no current market data available from which to determine the price at which an at
\n
arm\u2019s length transaction would be likely to occur. It generally does not mean that there is no market data available at all
\n
upon which to base a determination of fair value. Additional information is provided in the table headed 'Effect of changes
\n
in significant unobservable assumptions to reasonably possible alternatives' in note 44 Fair Value. While Aegon believes
\n
its valuation techniques are appropriate and consistent with other market participants, the use of different methodologies
\n
or assumptions to determine the fair value of certain instruments (both financial and non-financial) could result in a different
\n
estimate of fair value at the reporting date.
\n
The valuation techniques applied to financial instrument affected by IBOR reforms remain consistent with those of other market
\n
participants, and the uncertainty on the outcome of the reforms has not affected the classification of the instruments.
\n
To operationalize Aegon\u2019s fair value hierarchy, individual instruments (both financial and non-financial) are assigned a fair
\n
value level based primarily on the type of instrument and the source of the prices (e.g. index, third-party pricing service, broker,
\n
internally modeled). Periodically, this logic for assigning fair value levels is reviewed to determine if any modifications are
\nnecessary in the context of the current market environment.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfAccountingJudgementsAndEstimatesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22788": {
"value": "Actuarial assumption and model updates
Assumptions are reviewed periodically in the second quarter for the Americas and in the fourth quarter for Europe and Asia,
\n
based on historical experience, observable market data, including market transactions such as acquisitions and reinsurance
\n
transactions, anticipated trends and legislative changes. Similarly, the models and systems used for determining our liabilities
\n
are reviewed periodically and, if deemed necessary, updated based on emerging best practices and available technology.
\n
During 2022, Aegon implemented actuarial assumption and model updates resulting in a net EUR 480 million charge to result
\n
before tax (2021: EUR 298 million charge). This is mainly related to Aegon\u2019s businesses in the Americas and the Netherlands.
\n
Assumption changes and model updates in the Americas led to a net adverse impact of EUR 354 million and is mainly driven
\n
by charges from reinsurance rate increases and various actuarial assumption updates. The latter mainly related to updated
\n
policyholder behaviour and mortality assumption in Individual Life.
\n
Assumption changes and model updates in the Netherlands led to an unfavorable impact of EUR 118 million and is mainly
\n
related to adverse impacts of the annual update of the mortgage conditional prepayment rate and expense methodology.
\n
For the years 2020 through 2022, Aegon kept its long-term equity market return assumption for the estimated gross profits
\n
on variable life and variable annuity products in the Americas at 8%. The long term credit spread assumption, net of assumed
\n
defaults and expenses, on our most common corporate bonds is 120bps. The 90-day Treasury yield was 4.70%, 0.14% and
\n
0.15% at December 31, 2022, 2021 and 2020 respectively. During 2022, the 90-day Treasury yield was assumed to have
\n
a uniform grading over 10 years to 2.25%, which was a change from the assumption during 2021 and 2020 of grading over
\n
10 years to 2.0% and 1.5%, respectively. On a quarterly basis, the estimated gross profits are updated for the difference
\n
between the estimated market return and the actual market return.
\n
Sensitivities
\n
Please note that the sensitivities listed in the disclosures below represent sensitivities to Aegon\u2019s position at the balance
\n
sheet date for the respective years, and are measured in accordance with IFRS 4 and IAS 39. The sensitivities reflect single
\n
shocks where other elements remain unchanged. Real world market impacts (e.g. lower interest rates and declining equity
\n
markets) may happen simultaneously which can lead to more severe combined impacts and may not be equal to the sum
\n
of the individual sensitivities presented in the disclosure.
\n
Aegon Integrated Annual Report
2022 |
175
\n
Notes to the consolidated financial statements
Note 3
Sensitivity on variable annuities and variable life insurance products in the United States
\n
Sensitivity analysis of DPAC and VOBA balances to changes in in expected long-term equity growth rate
\n
2022
2021
\n
Estimated approximate effect
DPAC /VOBA
DPAC /VOBA
\n
1% decrease in the expected long-term equity growth rate
(113)
(95)
\n
The DPAC and VOBA balances for these products in the United States amounted to EUR 2.1 billion at December 31, 2022
\n
(2021: EUR 2.1 billion).
\n
Sensitivity analysis of net result to changes in various underwriting risks
\n
2022
2021
\n
Estimated approximate effect
Net Result
Net Result
\n
10% increase to mortality assumption
(222)
(128)
\n
20% increase in the lapse rate assumption
15
71
\n
Any reasonably possible changes in the other assumptions Aegon uses to determine EGP margins (i.e. maintenance expenses)
\n
would reduce net result by less than EUR 14 million (2021: EUR 8 million).
\n
Sensitivity on long term care (LTC) products in the United States
\n
After tax sensitivities of significant product liability assumptions on the LTC IFRS after-tax Gross Present Value Reserve (GPV)
\n
are indicated below. The GPV is the liability as determined on a best estimate assumption basis.
\n
Sensitivity analysis of GPV to changes in various underwriting risks
\n
2022
2021
\n
Estimated approximate effect
GPV
GPV
\n
5% increase in the utilization rates
208
195
\n
5% decrease in the utilization rates
(222)
(201)
\n
10% decrease expected mortality
129
122
\n
10% increase expected mortality
(123)
(114)
\n
Removing the morbidity improvement assumption, which is a component of the utilization assumption, would result in a GPV
\n
increase of approximately EUR 349 million (2021: EUR 309 million), of which EUR 233 million (2021: EUR 194 million) relates
\n
to the loss recognition block.
\n
Removing future mortality improvement would result in a GPV decrease of approximately EUR 100 million
\n(2021: EUR 112 million).",
"dimensions": {
"concept": "ifrs-full:DisclosureOfSensitivityAnalysisForActuarialAssumptionsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22886": {
"value": "Determination of fair value and fair value hierarchy
The following is a description of Aegon\u2019s methods of determining fair value, and a quantification of its exposure to assets and
\n
liabilities measured at fair value.
\n
Fair value is defined as the amount that would be received from the sale of an asset or paid to transfer a liability in an orderly
\n
transaction between market participants at the measurement date under current market conditions (i.e. an exit price at the
\n
measurement date from the perspective of a market participant that holds the asset or owes the liability). A fair value
\n
measurement assumes that the transaction to sell the asset or transfer the liability takes place either:
\n
\u2022
\n
In the principal market for the asset or liability; or
\n
\u2022
\n
In the absence of a principal market, in the most advantageous market for the asset or liability.
\n
|
Aegon Integrated Annual Report
2022
176
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Aegon uses the following hierarchy for measuring and disclosing of the fair value of assets and liabilities:
\n
\u2022
\n
Level I: quoted prices (unadjusted) in active markets for identical assets or liabilities that Aegon can access at the
\n
measurement date;
\n
\u2022
\n
Level II: inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly
\n
(that is, as prices) or indirectly (that is, derived from prices of identical or similar assets and liabilities) using valuation
\n
techniques for which all significant inputs are based on observable market data; and
\n
\u2022
\n
Level III: inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) using
\n
valuation techniques for which any significant input is not based on observable market data.
\n
The best evidence of fair value is a quoted price in an actively traded market. In the event that the market for a financial
\n
instrument is not active or quoted market prices are not available, a valuation technique is used.
\n
The degree of judgment used in measuring the fair value of assets and liabilities generally inversely correlates with the level
\n
of observable valuation inputs. Aegon maximizes the use of observable inputs and minimizes the use of unobservable valuation
\n
inputs when measuring fair value. Financial instruments, for example, with quoted prices in active markets generally have more
\n
pricing observability and therefore less judgment is used in measuring fair value. Conversely, financial instruments for which
\n
no quoted prices are available have less observability and are measured at fair value using valuation models or other pricing
\n
techniques that require more judgment.
\n
The assets and liabilities categorization within the fair value hierarchy is based on the lowest input that is significant to the fair
\n
value measurement.
\n
An active market is one in which transactions for the asset or liability take place with sufficient frequency and volume to provide
\n
pricing information on an ongoing basis. The judgment as to whether a market is active may include, although not necessarily
\n
determinative, lower transaction volumes, reduced transaction sizes and, in some cases, no observable trading activity
\n
for short periods. In inactive markets, assurance is obtained that the transaction price provides evidence of fair value or it
\n
is determined that adjustments to transaction prices are necessary to measure the fair value of the instrument.
\n
The majority of valuation techniques employ only observable market data, and so the reliability of the fair value measurement
\n
is high. However, certain assets and liabilities are valued on the basis of valuation techniques that feature one or more
\n
significant market inputs that are unobservable and, for such assets and liabilities, the derivation of fair value is more
\n
judgmental. An instrument is classified in its entirety as valued using significant unobservable inputs (Level III) if, in the opinion
\n
of management, a significant proportion of the instrument\u2019s carrying amount is driven by unobservable inputs. 'Unobservable'
\n
in this context means that there is little or no current market data available from which to determine the price at which an at
\n
arm\u2019s length transaction would be likely to occur. It generally does not mean that there is no market data available at all
\n
upon which to base a determination of fair value. Additional information is provided in the table headed 'Effect of changes
\n
in significant unobservable assumptions to reasonably possible alternatives' in note 44 Fair Value. While Aegon believes
\n
its valuation techniques are appropriate and consistent with other market participants, the use of different methodologies
\n
or assumptions to determine the fair value of certain instruments (both financial and non-financial) could result in a different
\n
estimate of fair value at the reporting date.
\n
The valuation techniques applied to financial instrument affected by IBOR reforms remain consistent with those of other market
\n
participants, and the uncertainty on the outcome of the reforms has not affected the classification of the instruments.
\n
To operationalize Aegon\u2019s fair value hierarchy, individual instruments (both financial and non-financial) are assigned a fair
\n
value level based primarily on the type of instrument and the source of the prices (e.g. index, third-party pricing service, broker,
\n
internally modeled). Periodically, this logic for assigning fair value levels is reviewed to determine if any modifications are
\nnecessary in the context of the current market environment.",
"dimensions": {
"concept": "ifrs-full:DescriptionOfAccountingPolicyForFairValueMeasurementExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f22968": {
"value": "4 Financial risks
General
\n
As an insurance group, Aegon is exposed to a variety of risks. Aegon's largest exposures are to changes in financial markets
\n
(e.g. foreign currency, interest rate, credit and equity market risks) that affect the value of the investments, liabilities from
\n
products that Aegon sells, deferred expenses and value of business acquired. Other risks include insurance related risks,
\n
such as changes in mortality, morbidity, bond credit spread and liquidity premium, which are discussed in note 34 Insurance
\n
contracts. Aegon manages risk at local level where business is transacted, based on principles and policies established
\n
Aegon Integrated Annual Report
2022 |
177
\n
Notes to the consolidated financial statements
Note 4
at the Group level. Aegon's integrated approach to risk management involves similar measurement of risk and scope of risk
\n
coverage to allow for aggregation of the Group's risk position.
\n
To manage the risk from changes in financial markets, Aegon\u2019s products are priced using a market-consistent framework and
\n
comprehensive asset liability management (ALM) programs are implemented to ensure that the assets backing policyholder
\n
benefits are invested prudently over the long term. A range of ALM techniques are used across the Group. These range in terms
\n
of sophistication and complexity from cash-flow matching (for traditional fixed annuities) to duration matching (for the Universal
\n
Life range of products) to derivative-based semi-static and dynamic hedges (to match variable annuities).
\n
To manage its risk exposure, Aegon has risk policies in place. Many of these policies are group-wide while others are specific
\n
to the unique situation of local businesses. For ALM specifically, the Enterprise Risk Management (ERM) framework includes
\n
several risk policies that govern ALM strategies, such as the Investment and Counterparty Risk Policy (ICRP). The ICRP governs
\n
the management of investment risks associated with credit, equity, property, alternative asset classes, interest rate and
\n
currency risk in addition to option markets, implied volatility risk, interest rate options and swaptions. As well as product-level
\n
ALM programs, subsidiary businesses are required by the ICRP to maintain overarching entity-level ALM strategies that set
\n
the direction and limits for the aggregated product-level programs. Significant or complex ALM strategies are approved at group
\n
level, and all programs are subject to Group Risk oversight.
\n
Together with the ICRP, which guides ALM strategy, several other ERM policies govern concentration risk, liquidity risk, use
\n
of derivatives and securities lending and repos. As Aegon uses derivatives extensively, collateral calls can be significant
\n
depending on market circumstances. Liquidity is managed at legal entity level in the first instance with central coordination
\n
by Aegon N.V. The large US and Dutch units may use external market solutions to match projected liquidity requirements
\n
with funding.
\n
Next to guidance, the Group level policies also provide limits to the Group's exposure to major risks such as equity, interest
\n
rates, credit, and currency. The limits in these policies in aggregate remain within the Group's overall tolerance for risk and
\n
the Group's financial resources. Operating within this policy framework, Aegon employs risk management programs including
\n
ALM processes and models and hedging programs (which are largely conducted via the use of financial derivative instruments).
\n
These risk management programs are in place in each country unit and are not only used to manage risk in each unit, but are
\n
also part of the Group's overall risk strategy.
\n
Aegon operates a Derivative Use Policy to govern its usage of derivatives. This policy establishes the control, authorization,
\n
execution and monitoring requirements of the usage of such instruments. In addition, the policy stipulates necessary mitigation
\n
of credit risk created through derivatives management tools. For derivatives, counterparty credit risk is normally mitigated
\n
by requirements to post collateral via credit support annex agreements or through a central clearing house.
\n
As part of its risk management programs, Aegon takes inventory of its current risk position across risk categories. Aegon also
\n
measures the sensitivity of net result and shareholders' equity under both deterministic and stochastic scenarios. Management
\n
uses the insight gained through these 'what if?' scenarios to manage the Group's risk exposure and capital position.
\n
The models, scenarios and assumptions used are reviewed regularly and updated as necessary.
\n
Results of Aegon's sensitivity analyses are presented throughout this section to show the estimated sensitivity of net result and
\n
shareholders' equity to various scenarios. For each type of market risk, the analysis shows how net result and shareholders'
\n
equity would have been affected by changes in the relevant risk variable that were reasonably possible at the reporting date.
\n
For each sensitivity test the impact of a reasonably possible change in a single factor is shown. Management action is taken
\n
into account to the extent that it is part of Aegon's regular policies and procedures, such as established hedging programs.
\n
However, incidental management actions that would require a change in policies and procedures are not considered.
\n
Each sensitivity analysis reflects the extent to which the shock tested would affect management's critical accounting
\n
estimates and judgment in applying Aegon's accounting policies. Market-consistent assumptions underlying the measurement
\n
of non-listed assets and liabilities are adjusted to reflect the shock tested. The shock may also affect the measurement
\n
of assets and liabilities based on assumptions that are not observable in the market. For example, a shock in interest rates
\n
may lead to changes in the amortization schedule of DPAC or to increased impairment losses on equity investments. Although
\n
management's short-term assumptions may change if there is a reasonably possible change in a risk factor, long-term
\n
assumptions will generally not be revised unless there is evidence that the movement is permanent. This fact is reflected
\n
in the sensitivity analyses.
\n
|
Aegon Integrated Annual Report
2022
178
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The accounting mismatch inherent in EU-IFRS is also apparent in the reported sensitivities. A change in interest rates has
\n
an immediate impact on the carrying amount of assets measured at fair value. However, the shock will not have a similar
\n
effect on the carrying amount of the related insurance liabilities that are measured based on locked-in assumptions or on
\n
management's long-term expectations. Consequently, the different measurement bases for assets and liabilities lead
\n
to increased volatility in EU-IFRS net result and shareholders' equity. Aegon has classified a significant part of its investment
\n
portfolio as 'available-for-sale', which is one of the main reasons why the economic shocks tested have a different impact on net
\n
result than on shareholders' equity. Unrealized gains and losses on these assets are not recognized in the income statement
\n
but are booked through other comprehensive income to the revaluation reserves in shareholders' equity, unless impaired.
\n
As a result, economic sensitivities predominantly impact shareholders' equity but leave net result unaffected. The effect
\n
of movements of the revaluation reserve on capitalization ratios and capital adequacy are minimal. Aegon's target ratio for
\n
the composition of its capital base is based on shareholders' equity excluding the revaluation reserve.
\n
The sensitivities do not reflect what the net result for the period would have been if risk variables had been different because
\n
the analysis is based on the exposures in existence at the reporting date rather than on those that actually occurred during
\n
the year. Nor are the results of the sensitivities intended to be an accurate prediction of Aegon's future shareholders' equity
\n
or earnings. The analysis does not take into account the impact of future new business, which is an important component
\n
of Aegon's future earnings. It also does not consider all methods available to management to respond to changes
\n
in the financial environment, such as changing investment portfolio allocations or adjusting premiums and crediting rates.
\n
Furthermore, the results of the analyses cannot be extrapolated for wider variations since effects do not tend to be linear.
\n
Concentration risk for financial risks are measured and managed at the following levels:
\n
\u2022
\n
Concentration per risk type: Risk exposures are measured per risk type as part of Aegon\u2019s internal economic framework. A
\n
risk tolerance framework is in place which sets risk limits per risk type to target desired risk balance and promote
\n
diversification across risk types;
\n
\u2022
\n
Concentration per counterparty: Risk exposure is measured and risk limits are in place per counterparty as part of the
\n
Counterparty Name Limit Policy; and
\n
\u2022
\n
Concentration per sector, geography and asset class: Aegon\u2019s investment strategy is translated in investment mandates for
\n
its internal and external asset managers. Through these investment mandates limits on sector, geography and asset class
\n
are set. Compliance monitoring of the investment mandates is done by the insurance operating companies.
\n
Moreover, concentration of financial risks are measured in Aegon business planning cycle. As part of business planning,
\n
the resilience of Aegon's business strategy is tested in several extreme event scenarios. In the Adverse Financial scenario,
\n
financial markets are stressed without assuming diversification across different market factors. Within the projection certain
\n
management actions may be implemented when management deems this necessary.
\n
Aegon's significant financial risks and related financial information are explained in the order as follows:
\n
\u2022
\n
Credit risk
\n
\u2022
\n
Equity market risk and other investment risks
\n
\u2022
\n
Interest rate risk
\n
\u2022
\n
Currency exchange risk
\n
\u2022
\n
Liquidity risk
\n
Certain information in this note is presented per segment, please refer to note 5 Segment information for the definition
\n
of Aegon's segments.
\n
Credit risk
\n
As premiums and deposits are received, these funds are invested to pay for future policyholder obligations. For general account
\n
products, Aegon typically bears the risk for investment performance which is equal to the return of principal and interest. Aegon
\n
is exposed to credit risk on its general account fixed-income portfolio (debt securities, mortgages and private placements),
\n
over-the-counter derivatives and reinsurance contracts. Some issuers have defaulted on their financial obligations for various
\n
reasons, including bankruptcy, lack of liquidity, downturns in the economy, downturns in real estate values, operational failure
\n
and fraud. During financial downturns, Aegon can incur defaults or other reductions in the value of these securities and loans,
\n
which could have a materially adverse effect on Aegon's business, results of operations and financial condition. Investments for
\n
account of policyholders are excluded as the policyholder bears the credit risk associated with the investments.
\n
Aegon Integrated Annual Report
2022 |
179
\n
Notes to the consolidated financial statements
Note 4
The table that follows shows the Group's maximum exposure to credit risk from investments in general account financial
\n
assets, as well as general account derivatives and reinsurance assets, collateral held and net exposure. Please refer to note
\n
45 and 46 for further information on capital commitments and contingencies and on collateral given, which may expose
\n
the Group to credit risk.
\n
2022
\n
1)
\n
Maximum
\n
exposure
\n
to credit
\n
risk
Cash
Securities
\n
Letters of
\n
credit /
\n
guarantees
\n
Real
\n
estate
\n
property
\n
Master
\n
netting
\n
agree-
\n
ments
Other
\n
Total
\n
collateral
\n
Surplus
\n
collateral (or
\n
overcollater-
\n
alization)
\n
Net
\n
exposure
\n
Debt securities -
\n
carried at fair value
53,647
-
-
96
-
-
-
96
-
53,551
\n
Money market and
\n
other short-term
\n
investments
\n
- carried at fair value
5,613
-
312
-
-
-
-
312
23
5,324
\n
Mortgage loans -
\n
carried at amortized
\n
cost
10,441
40
-
22
24,822
-
-
24,883
14,442
1
\n
Private loans - carried
\n
at amortized cost
27
11
-
-
-
-
-
11
-
15
\n
Other loans - carried
\n
at amortized cost
2,088
-
-
-
-
-
3,510
3,510
1,470
47
\n
Other financial assets
\n
- carried at fair value
4,562
-
-
-
-
-
-
-
-
4,562
\n
Derivatives
2,707
246
426
-
-
2,174
-
2,846
173
33
\n
Reinsurance assets
21,184
-
14,162
103
-
-
-
14,265
-
6,919
\n
At December 31
100,269
297
14,900
221
24,822
2,174
3,510
45,923
16,108
70,453
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Maximum
\n
exposure
\n
to credit
\n
risk
Cash
Securities
\n
Letters of
\n
credit /
\n
guarantees
\n
Real
\n
estate
\n
property
\n
Master
\n
netting
\n
agree-
\n
ments
Other
\n
Total
\n
collateral
\n
Surplus
\n
collateral (or
\n
overcollater-
\n
alization)
\n
Net
\n
exposure
\n
Debt securities -
\n
carried at fair value
97,195
-
-
221
-
-
-
221
-
96,974
\n
Money market and
\n
other short-term
\n
investments
\n
- carried at fair value
4,910
-
330
-
-
-
-
330
21
4,601
\n
Mortgage loans -
\n
carried at amortized
\n
cost
40,624
2,684
-
32
75,412
-
-
78,128
38,197
693
\n
Private loans - carried
\n
at amortized cost
4,883
33
-
-
-
-
-
33
-
4,850
\n
Other loans - carried
\n
at amortized cost
1,949
-
-
-
-
-
1,872
1,872
1,346
1,423
\n
Other financial assets
\n
- carried at fair value
4,245
-
-
-
-
-
-
-
-
4,245
\n
Derivatives
8,780
2,555
107
-
-
5,921
-
8,583
66
263
\n
Reinsurance assets
20,992
-
3,784
77
-
-
-
3,861
-
17,131
\n
At December 31
183,577
5,272
4,221
330
75,412
5,921
1,872
93,028
39,630
130,180
\n
Investment exposure to Russia
\n
In 2022, following the Russian invasion of Ukraine, Aegon has reduced its general account investment exposure to Russia
\n
from EUR 27 million to almost nil per December 31, 2022. The remaining investment positions currently cannot be sold
\n
as these investments are in companies which are in scope of international sanctions imposed on Russia following the invasion
\n
of Ukraine. Aegon has no operations in Russia.
\n
Debt securities
\n
Several bonds in Aegon's Americas' portfolio are guaranteed by Monoline insurers. This is shown in the table above
\n
in the column 'Letters of credit / guarantees'.
\n
|
Aegon Integrated Annual Report
2022
180
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Money market and short-term investments
\n
The collateral reported for the money market and short-term investments are related to tri-party repurchase agreements
\n
(repos). Within tri-party repos Aegon invests under short-term reverse repurchase agreements and the counterparty posts
\n
collateral to a third party custodian. The collateral posted is typically high-quality, short-term securities and is only accessible
\n
for or available to Aegon in the event the counterparty defaults.
\n
Mortgage loans
\n
The real estate collateral for mortgages includes both residential and commercial properties. The collateral for commercial
\n
mortgage loans in Aegon Americas is measured at fair value. At a minimum on an annual basis, a fair value is estimated for each
\n
individual real estate property that has been pledged as collateral. When a loan is originally provided, an external appraisal
\n
is obtained to estimate the value of the property. In subsequent years, the value is typically estimated internally using various
\n
professionally accepted valuation methodologies. Internal appraisals are performed by qualified, professionally accredited
\n
personnel. International valuation standards are used and the most significant assumptions made during the valuation of real
\n
estate are the current cost of reproducing or replacing the property, the value that the property's net earning power will support,
\n
and the value indicated by recent sales of comparable properties. Valuations are primarily supported by market evidence.
\n
For Aegon the Netherlands, collateral for the residential mortgages is measured as the foreclosure value which is indexed
\n
periodically.
\n
Cash collateral for mortgage loans includes the savings that have been received to redeem the underlying mortgage loans
\n
at redemption date. These savings are part of the credit side of the statement of financial position, but reduce the credit risk for
\n
the mortgage loan as a whole.
\n
A substantial part of Aegon's Dutch residential mortgage loan portfolio benefits from guarantees by a Dutch government-
\n
backed trust (Stichting Waarborgfonds Eigen Woning) through the Dutch Mortgage loan Guarantee program (NHG). With
\n
exception of NHG-backed mortgage loans originated after January 1, 2014, for which a 10% lender-incurred haircut applies
\n
on realized losses on each defaulted loan, these guarantees cover all principal losses, missed interest payments and
\n
foreclosure costs incurred upon termination and settlement of defaulted mortgage loans when lender-specific terms and
\n
conditions of the guarantee are met. When not fully met, the trust may pay claims in part or in full, depending on the severity
\n
of the breach of terms and conditions. For each specific loan, the guarantee amortizes in line with an equivalent annuity
\n
mortgage loan. When the remaining loan balance at default does not exceed the amortized guarantee, it covers the full loss
\n
under its terms and conditions. Any loan balance in excess of this decreasing guarantee profile serves as a first loss position
\n
for the lender.
\n
Derivatives
\n
The master netting agreements column in the table relates to derivative liability positions which are used in Aegon's credit
\n
risk management. The offset in the master netting agreements column includes balances where there is a legally enforceable
\n
right of offset, but no intention to settle these balances on a net basis under normal circumstances. As a result, there is a net
\n
exposure for credit risk management purposes. However, as there is no intention to settle these balances on a net basis, they
\n
do not qualify for net presentation for accounting purposes.
\n
Reinsurance assets
\n
The collateral related to the reinsurance assets include assets in trust that are held by the reinsurer for the benefit of Aegon.
\n
The assets in trust can be accessed to pay policyholder benefits in the event the reinsurers fail to perform under the terms
\n
of their contract. Further information on the related reinsurance transactions is included in note 26 Reinsurance assets.
\n
Other loans
\n
The collateral included in the other column represents the policyholders account value for policy loans. The excess
\n
of the account value over the loan value is included in the surplus collateral column. For further information on the policy loans
\n
refer to note 22.1 Financial assets, excluding derivatives.
\n
The total collateral includes both under- and over-collateralized positions. To present a net exposure of credit risk, the over-
\n
collateralization, which is shown in the surplus collateral column, is extracted from the total collateral.
\n
Aegon Integrated Annual Report
2022 |
181
\n
Notes to the consolidated financial statements
Note 4
Credit risk management
\n
Aegon manages credit risk exposure by individual counterparty, sector and asset class, including cash positions. Normally,
\n
Aegon mitigates credit risk in derivative contracts by entering into credit support agreement, where practical, and in ISDA
\n
master netting agreements for most of Aegon's legal entities to facilitate Aegon's right to offset credit risk exposure. Main
\n
counterparties to these transactions are investment banks which are typically rated 'A' or higher. The credit support agreement
\n
will normally dictate the threshold over which collateral needs to be pledged by Aegon or its counterparty. Transactions
\n
requiring Aegon or its counterparty to post collateral are typically the result of derivative trades, comprised mostly of interest
\n
rate swaps, equity swaps, currency swaps and credit swaps. Collateral received is mainly cash (USD and EUR). The credit
\n
support agreements that outline the acceptable collateral require high-quality instruments to be posted. Over the last three
\n
years, there was no default with any derivatives counterparty. The credit risk associated with financial assets subject to a
\n
master netting agreement is eliminated only to the extent that financial liabilities due to the same counterparty will be settled
\n
after the assets are realized. Eligible derivative transactions are traded via Central Clearing Houses as required by EMIR and
\n
the Dodd-Frank act. Credit risk in these transactions is mitigated through posting of initial and variation margins.
\n
Aegon may also mitigate credit risk in reinsurance contracts by including downgrade clauses that allow the recapture
\n
of business, retaining ownership of assets required to support liabilities ceded or by requiring the reinsurer to hold assets
\n
in trust. For the resulting net credit risk exposure, Aegon employs deterministic and stochastic credit risk modeling in order
\n
to assess the Group's credit risk profile, associated earnings and capital implications due to various credit loss scenarios.
\n
Aegon operates a Credit Name Limit Policy (CNLP) under which limits are placed on the aggregate exposure that it has to any
\n
one counterparty. Limits are placed on the exposure at both group level and individual country units. The limits also vary
\n
by a rating system, which is a composite of the main rating agencies (S&P, Moody's and Fitch) and Aegon's internal rating
\n
of the counterparty. If an exposure exceeds the stated limit, then the exposure must be reduced to the limit for the country unit
\n
and rating category as soon as possible. Exceptions to these limits can only be made after explicit approval from Aegon's Group
\n
Risk and Capital Committee (GRCC). The policy is reviewed regularly.
\n
At December 31, 2022, there was no violation of the Credit Name Limit Policy at Group level (2021: one).
\n
At December 31, 2022, Aegon's largest corporate credit exposures are to American United Mutual Insurance, Reinsurance
\n
Group of America, Bank of America and Berkshire Hathaway. Aegon had large government exposures, the largest being
\n
to the United States, the Netherlands and Germany. Highly rated government bonds and government exposure domestically
\n
issued and owned in local currency are excluded from the Credit Name Limit Policy.
\n
Aegon group level long-term counterparty exposure limits are as follows:
\n
Group limits per credit rating
\n
Amounts in EUR million
2022
2021
\n
AAA
900
900
\n
AA
900
900
\n
A
675
675
\n
BBB
450
450
\n
BB
250
250
\n
B
125
125
\n
CCC or lower
50
50
\n
|
Aegon Integrated Annual Report
2022
182
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Credit rating
\n
The ratings distribution of general account portfolios of Aegon's major reporting units, excluding reinsurance assets, are
\n
presented in the table that follows, organized by rating category and split by assets that are valued at fair value and assets that
\n
are valued at amortized cost. Aegon uses a composite rating based on a combination of the external ratings of S&P, Moody's,
\n
Fitch and National Association of Insurance Commissioners (NAIC which is for US only) and internal ratings. The rating used
\n
is the lower of the external rating and the internal rating.
\n
Credit rating general account investments,
\n
excluding reinsurance assets 2022
\n
Americas
United Kingdom
International
\n
Amortized cost
Fair value
Amortized cost
Fair value
Amortized cost
Fair value
\n
AAA
1,488
12,124
-
55
-
91
\n
AA
4,454
3,659
-
461
-
157
\n
A
3,779
19,374
-
262
39
891
\n
BBB
671
18,785
-
123
(5)
745
\n
BB
48
1,434
-
1
-
71
\n
B
-
592
-
-
-
13
\n
CCC or lower
-
445
-
-
-
4
\n
Assets not rated
2,035
4,525
-
582
9
9
\n
Total
12,475
60,938
-
1,483
43
1,980
\n
Past due and / or impaired assets
-
2,239
-
-
-
22
\n
At December 31
12,475
63,178
-
1,483
43
2,001
\n
Credit rating general account investments, excluding
\n
reinsurance assets 2022
\n
Asset Management
Total 2022
\n
1)
2)
\n
Amortized cost
Fair value
Amortized cost
Fair value
Total carrying value
\n
AAA
-
135
1,488
12,404
13,892
\n
AA
-
-
4,454
4,277
8,731
\n
A
-
-
3,818
20,527
24,345
\n
BBB
-
-
666
19,653
20,319
\n
BB
-
-
48
1,505
1,553
\n
B
-
-
-
605
605
\n
CCC or lower
-
-
-
449
449
\n
Assets not rated
-
1
2,081
5,235
7,317
\n
Total
-
136
12,556
64,656
77,211
\n
Past due and / or impaired assets
-
-
-
2,261
2,262
\n
At December 31
-
136
12,556
66,917
79,473
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Credit rating general account
\n
investments, excluding
\n
reinsurance assets 2021
\n
Americas
The Netherlands
United Kingdom
International
\n
Amortized cost
Fair value
Amortized cost
Fair value
Amortized cost
Fair value
Amortized cost
Fair value
\n
AAA
1,383
15,537
2,607
11,832
-
74
-
738
\n
AA
4,219
4,438
216
6,474
-
586
-
699
\n
A
3,301
20,888
128
10,636
-
384
52
2,610
\n
BBB
519
21,894
1,050
4,458
-
202
(4)
3,311
\n
BB
59
1,614
44
127
-
1
-
272
\n
B
-
549
-
19
-
-
18
370
\n
CCC or lower
-
441
-
19
-
-
-
13
\n
Assets not rated
1,868
4,257
31,770
1,418
-
644
27
79
\n
Total
11,349
69,618
35,814
34,983
-
1,893
93
8,093
\n
Past due and / or impaired assets
2
2,044
176
17
-
-
-
116
\n
At December 31
11,352
71,662
35,990
35,000
-
1,893
93
8,208
\n
Aegon Integrated Annual Report
2022 |
183
\n
Notes to the consolidated financial statements
Note 4
Credit rating general account investments, excluding
\n
reinsurance assets 2021
\n
Asset Management
Total 2021
\n
1)
\n
Amortized cost
Fair value
Amortized cost
Fair value
Total carrying value
\n
AAA
-
295
3,989
28,476
32,465
\n
AA
-
-
4,436
12,197
16,633
\n
A
-
-
3,481
34,530
38,011
\n
BBB
-
-
1,564
29,866
31,431
\n
BB
-
-
103
2,015
2,118
\n
B
-
-
18
938
956
\n
CCC or lower
-
-
-
473
473
\n
Assets not rated
-
2
33,685
6,474
40,160
\n
Total
-
296
47,277
114,968
162,245
\n
Past due and / or impaired assets
-
-
178
2,176
2,355
\n
At December 31
-
296
47,455
117,145
164,600
\n
1
\n
Includes investments of Holding and other activities.
\n
The following table shows the credit quality of the gross positions in the statement of financial position for general account
\n
reinsurance assets specifically:
\n
Carrying value 2022
\n
1)
\n
Carrying value 2021
\n
AAA
-
-
\n
AA
2,156
9,084
\n
A
18,105
11,087
\n
Below A
6
7
\n
Not rated
917
813
\n
At December 31
21,184
20,992
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Credit risk concentration
\n
The tables that follow present specific credit risk concentration information for general account financial assets.
\n
Credit risk concentrations \u2013 debt securities and
\n
money market investments 2022
Americas
United Kingdom
International
\n
Asset
\n
Management
Total 2022
\n
1)
\n
Of which past
\n
due and / or
\n
impaired assets
\n
Residential mortgage-backed securities (RMBSs)
1,136
-
-
5
1,141
479
\n
Commercial mortgage-backed securities
\n
(CMBSs)
2,707
94
37
-
2,838
42
\n
Asset-backed securities (ABSs) - CDOs backed
\n
by ABS, Corp. bonds, Bank loans
438
-
3
-
440
2
\n
ABSs \u2013 Other
2,400
53
15
9
2,478
26
\n
Financial - Banking
3,957
168
318
-
4,443
39
\n
Financial - Other
10,778
36
352
96
11,263
191
\n
Capital goods and other industry
3,769
22
132
-
3,923
268
\n
Communications & Technology
4,658
2
167
-
4,828
417
\n
Consumer cyclical
3,742
28
106
-
3,877
223
\n
Consumer non-cyclical
5,445
85
144
-
5,674
350
\n
Energy
3,205
19
102
-
3,326
41
\n
Transportation
1,728
-
43
-
1,771
19
\n
Utility
4,319
69
80
-
4,469
110
\n
Government bonds
7,962
323
488
17
8,790
43
\n
At December 31
56,243
901
1,989
128
59,260
2,251
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
|
Aegon Integrated Annual Report
2022
184
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Credit risk concentrations \u2013 Government bonds per country
\n
of risk 2022
Americas
United Kingdom
International
\n
Asset
\n
Management
Total 2022
\n
1)
2)
\n
United States
7,209
-
80
-
7,290
\n
Netherlands
-
-
-
-
-
\n
United Kingdom
-
275
-
17
292
\n
Austria
-
-
3
-
3
\n
Belgium
-
-
3
-
3
\n
Finland
-
-
-
-
-
\n
France
-
27
2
-
29
\n
Germany
-
-
-
-
-
\n
Hungary
18
-
4
-
22
\n
Indonesia
82
-
-
-
82
\n
Luxembourg
-
-
1
-
1
\n
Spain
-
-
152
-
152
\n
Rest of Europe
48
-
229
-
277
\n
Rest of world
604
21
13
-
638
\n
Supranational
-
-
-
-
-
\n
At December 31
7,962
323
488
17
8,790
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Credit risk concentrations \u2013 Credit rating 2022
\n
3)
\n
Government
\n
bonds
Corporate bonds
\n
RMBSs CMBSs
\n
ABSs
Other
Total 2022
\n
1)
2)
\n
AAA
5,980
724
2,997
2,780
12,482
\n
AA
1,243
2,484
815
-
4,541
\n
A
753
16,180
1,960
-
18,894
\n
BBB
538
19,307
306
-
20,151
\n
BB
206
1,204
102
-
1,513
\n
B
65
519
23
-
607
\n
CCC or lower
4
207
694
-
905
\n
Assets not rated
-
15
-
152
167
\n
At December 31
8,790
40,640
6,897
2,933
59,260
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
3
\n
CNLP Ratings are used and are the lower of the Barclay\u2019s Rating and the Internal Rating with the Barclay\u2019s rating being a blended rating of S&P, Fitch, and Moody\u2019s.
\n
There are no individual issuers rated below investment grade in the RMBS sector, CMBS sector and ABS sector which have
\n
unrealized loss position greater than EUR 25 million.
\n
Aegon Integrated Annual Report
2022 |
185
\n
Notes to the consolidated financial statements
Note 4
Credit risk concentrations \u2013 debt securities
\n
and money market investments 2021
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
International
\n
Asset
\n
Management
\n
Total 2021
\n
1)
\n
Of which past
\n
due and / or
\n
impaired
\n
assets
\n
Residential mortgage-backed securities
\n
(RMBSs)
1,854
106
-
20
4
1,984
611
\n
Commercial mortgage-backed securities
\n
(CMBSs)
3,005
3
122
517
-
3,647
13
\n
Asset-backed securities (ABSs) - CDOs
\n
backed by ABS, Corp. bonds, Bank loans
265
1,576
-
37
-
1,878
2
\n
ABSs \u2013 Other
1,972
1
74
267
8
2,321
27
\n
Financial - Banking
5,597
3,146
177
1,035
-
9,956
9
\n
Financial - Other
9,916
854
68
783
257
11,877
175
\n
Capital goods and other industry
4,048
1,078
33
501
-
5,661
144
\n
Communications & Technology
6,190
1,561
3
732
-
8,485
411
\n
Consumer cyclical
3,159
741
43
342
-
4,286
152
\n
Consumer non-cyclical
6,138
1,900
121
825
-
8,984
177
\n
Energy
4,177
143
26
635
-
4,980
91
\n
Transportation
2,151
815
-
197
-
3,163
130
\n
Utility
5,356
707
105
590
-
6,757
153
\n
Government bonds
11,663
14,321
477
1,649
18
28,127
4
\n
At December 31
65,490
26,951
1,248
8,130
286
102,105
2,101
\n
1
\n
Includes investments of Holding and other activities.
\n
Credit risk concentrations \u2013 Government
\n
bonds per country of risk 2021
Americas
The Netherlands
United Kingdom
International
\n
Asset
\n
Management
Total 2021
\n
1)
\n
United States
10,897
-
-
463
-
11,360
\n
Netherlands
-
4,691
-
-
-
4,691
\n
United Kingdom
-
3
413
-
18
433
\n
Austria
-
1,175
-
6
-
1,181
\n
Belgium
-
1,132
-
5
-
1,137
\n
Finland
-
41
-
-
-
41
\n
France
-
1,618
34
2
-
1,654
\n
Germany
-
4,309
-
-
-
4,309
\n
Hungary
-
-
-
302
-
302
\n
Indonesia
75
39
-
28
-
141
\n
Luxembourg
-
873
-
1
-
875
\n
Spain
-
144
-
197
-
341
\n
Rest of Europe
85
65
-
503
-
654
\n
Rest of world
587
230
31
131
-
979
\n
Supranational
19
-
-
11
-
29
\n
At December 31
11,663
14,321
477
1,649
18
28,127
\n
1
\n
Includes investments of Holding and other activities.
\n
Credit risk concentrations \u2013 Credit rating 2021
\n
2)
\n
Government bonds
Corporate bonds
RMBSs CMBSs ABSs
Other
Total 2021
\n
1)
\n
AAA
19,740
754
5,779
1,882
28,155
\n
AA
5,476
4,099
1,125
-
10,700
\n
A
1,228
25,470
1,648
-
28,345
\n
BBB
1,094
28,855
338
-
30,286
\n
BB
238
1,700
63
-
2,001
\n
B
348
553
26
-
927
\n
CCC or lower
5
183
826
-
1,014
\n
Assets not rated
-
3
24
649
676
\n
At December 31
28,127
61,617
9,830
2,531
102,105
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
CNLP Ratings are used and are the lower of the Barclay\u2019s Rating and the Internal Rating with the Barclay\u2019s rating being a blended rating of S&P, Fitch, and Moody\u2019s.
\n
|
Aegon Integrated Annual Report
2022
186
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
There are no individual issuers rated below investment grade in the RMBS sector, CMBS sector and ABS sector which have
\n
unrealized loss position greater than EUR 25 million.
\n
Credit risk concentrations \u2013
\n
mortgage loans 2022
Americas
United Kingdom
International
\n
Asset
\n
Management
Total 2022
\n
1)
\n
Of which past
\n
due and / or
\n
impaired assets
\n
Agricultural
49
-
-
-
49
-
\n
Apartment
5,519
-
-
-
5,519
-
\n
Industrial
402
-
-
-
402
-
\n
Office
1,521
-
-
-
1,521
-
\n
Retail
1,475
-
-
-
1,475
-
\n
Other commercial
1,469
-
-
-
1,469
-
\n
Residential
5
-
1
-
5
-
\n
At December 31
10,441
-
1
-
10,441
-
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Credit risk concentrations \u2013
\n
mortgage loans 2021
Americas
The Netherlands
United Kingdom
International
\n
Asset
\n
Management
Total 2021
\n
Of which past
\n
due and / or
\n
impaired assets
\n
Agricultural
59
-
-
-
-
59
-
\n
Apartment
5,085
-
-
-
-
5,085
2
\n
Industrial
1,349
-
-
-
-
1,349
-
\n
Office
1,560
-
-
-
-
1,560
-
\n
Retail
1,425
6
-
-
-
1,432
-
\n
Other commercial
-
23
-
-
-
23
1
\n
Residential
6
31,108
-
1
-
31,115
139
\n
At December 31
9,485
31,138
-
1
-
40,624
142
\n
The fair value of Aegon Americas commercial and agricultural mortgage loan portfolio as per December 31, 2022, amounted
\n
to EUR 9,224 million (2021: EUR 10,161 million). The loan to value (LTV) amounted to approximately 50.4% (2021: 53%).
\n
Of the portfolio 0% (2021: 0%) is in delinquency (defined as 60 days in arrears). In 2022, Aegon Americas recognized
\n
EUR 0 million of net impairments (2021: EUR 1 million net impairments) on this portfolio. In 2022, there were no foreclosures
\n
(2021: EUR 0 million) and no impairments or recoveries associated with foreclosed loans (2021: EUR 0 million).
\n
Unconsolidated structured entities
\n
Aegon's investments in unconsolidated structured entities such as RMBSs, CMBSs and ABSs and investment funds are
\n
presented in the line item 'Investments' of the statement of financial position. Aegon's interests in these unconsolidated
\n
structured entities can be characterized as basic interests, Aegon does not have loans, derivatives, guarantees or other
\n
interests related to these investments. Any existing commitments such as future purchases of interests in investment funds are
\n
disclosed in note 45 Commitments and contingencies.
\n
For debt instruments, specifically for RMBSs, CMBSs and ABSs, the maximum exposure to loss is equal to the carrying
\n
amount which is reflected in the credit risk concentration table regarding debt securities and money market investments.
\n
To manage credit risk Aegon invests primarily in senior notes of RMBSs, CMBSs and ABSs. The composition of the RMBSs,
\n
CMBSs and ABSs portfolios of Aegon are widely dispersed looking at the individual amount per entity, therefore Aegon
\n
only has non-controlling interests in individual unconsolidated structured entities. Furthermore these investments are not
\n
originated by Aegon.
\n
Except for commitments as noted in note 45 Commitments and contingencies, Aegon did not provide, nor is required to provide
\n
financial or other support to unconsolidated structured entities. Nor does Aegon have intentions to provide financial or other
\n
support to unconsolidated structured entities in which Aegon has an interest or previously had an interest.
\n
For RMBSs, CMBSs and ABSs in which Aegon has an interest at reporting date, the following table presents total income
\n
received from those interests. The Investments column reflects the carrying values recognized in the statement of financial
\n
position of Aegon's interests in RMBSs, CMBSs and ABSs.
\n
Aegon Integrated Annual Report
2022 |
187
\n
Notes to the consolidated financial statements
Note 4
2022
\n
1)
\n
Total result 2022
\n
December 31,
\n
2022
\n
Interest income
\n
Total gains and
\n
losses on sale of
\n
assets
Total
Investments
\n
Residential mortgage-backed securities
92
(84)
9
1,141
\n
Commercial mortgage-backed securities
120
(715)
(595)
2,838
\n
Asset-backed securities
24
(34)
(10)
440
\n
ABSs - Other
92
(416)
(324)
2,478
\n
Total
328
(1,249)
(921)
6,897
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Total result 2021
\n
December 31,
\n
2021
\n
Interest income
\n
Total gains and
\n
losses on sale of
\n
assets
Total
Investments
\n
Residential mortgage-backed securities
83
(28)
55
1,980
\n
Commercial mortgage-backed securities
113
(31)
82
3,647
\n
Asset-backed securities
29
-
29
1,878
\n
ABSs - Other
70
(11)
59
2,323
\n
Total
295
(69)
226
9,829
\n
Additional information on credit risk, unrealized losses and impairments
\n
Debt instruments
\n
The amortized cost and fair value of debt securities, money market investments and other, included in Aegon's available-for-sale
\n
(AFS) portfolios, are as follows as of December 31, 2022, and December 31, 2021.
\n
2022
\n
1)
\n
Amortized
\n
cost
\n
Unrealized
\n
gains
\n
Unrealized
\n
losses
\n
Total fair
\n
value
\n
Fair value of
\n
instruments
\n
with unrealized
\n
gains
\n
Fair value of
\n
instruments
\n
with unrealized
\n
losses
\n
Debt securities, money market instruments and
\n
other
\n
United States government
8,386
135
(1,294)
7,226
1,435
5,791
\n
Dutch government
-
-
-
-
-
-
\n
Other government
1,700
23
(239)
1,484
266
1,218
\n
Mortgage-backed securities
4,218
160
(439)
3,939
578
3,362
\n
Asset-backed securities
3,269
12
(376)
2,905
183
2,722
\n
Corporate
42,507
449
(5,419)
37,538
7,428
30,110
\n
Money market investments
5,511
4
(1)
5,514
3,815
1,699
\n
Other
863
105
(128)
840
600
241
\n
Total
66,455
888
(7,896)
59,447
14,305
45,143
\n
Of which held by Aegon Americas
63,213
837
(7,672)
56,379
13,073
43,306
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
|
Aegon Integrated Annual Report
2022
188
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
2021
\n
Amortized
\n
cost
\n
Unrealized
\n
gains
\n
Unrealized
\n
losses
\n
Total fair
\n
value
\n
Fair value of
\n
instruments
\n
with unrealized
\n
gains
\n
Fair value of
\n
instruments
\n
with unrealized
\n
losses
\n
Debt securities, money market instruments and
\n
other
\n
United States government
8,942
2,386
(11)
11,317
10,938
379
\n
Dutch government
3,456
1,238
(0)
4,694
4,688
6
\n
Other government
9,060
2,794
(84)
11,769
10,414
1,356
\n
Mortgage-backed securities
5,265
372
(56)
5,581
3,832
1,749
\n
Asset-backed securities
4,088
118
(16)
4,189
2,334
1,855
\n
Corporate
50,953
5,738
(343)
56,348
45,363
10,985
\n
Money market investments
4,790
-
(0)
4,790
4,547
243
\n
Other
876
34
(66)
844
519
325
\n
Total
87,431
12,679
(576)
99,533
82,635
16,898
\n
Of which held by Aegon Americas and NL
78,468
11,865
(475)
89,859
74,954
14,905
\n
Unrealized bond losses by sector
\n
The composition by industry category of Aegon\u2019s available-for-sale (AFS) debt securities, money market investments and other
\n
in an unrealized loss position at December 31, 2022, and December 31, 2021, is presented in the following table:
\n
December 31, 2022
\n
1)
\n
December 31, 2021
\n
Unrealized losses - debt securities, money market
\n
investments and other
\n
Carrying value of
\n
instruments with
\n
unrealized losses
Unrealized losses
\n
Carrying value of
\n
instruments with
\n
unrealized losses
Unrealized losses
\n
Residential mortgage-backed securities (RMBSs)
633
(70)
810
(21)
\n
Commercial mortgage-backed securities (CMBSs)
2,690
(360)
803
(27)
\n
Asset-backed securities (ABSs) - CDOs backed by ABS,
\n
Corp. bonds, Bank loans
434
(39)
1,244
(9)
\n
ABSs - Other
2,253
(334)
558
(7)
\n
Financial Industry - Banking
2,906
(412)
1,669
(32)
\n
Financial Industry - Insurance
1,146
(199)
368
(11)
\n
Financial Industry - Other
5,821
(878)
1,092
(29)
\n
Industrial
17,249
(3,068)
5,630
(179)
\n
Utility
3,564
(765)
1,564
(68)
\n
Government
6,368
(1,418)
842
(28)
\n
Other
240
(128)
325
(66)
\n
Total held by Aegon Americas and NL
\n
1)
\n
43,306
(7,672)
14,905
(475)
\n
Held by other segments
1,837
(224)
1,994
(102)
\n
Total
45,143
(7,896)
16,898
(576)
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Impairment of financial assets
\n
Aegon regularly monitors industry sectors and individual debt securities for indicators of impairment. These indicators may
\n
include one or more of the following: 1) deteriorating market to book ratio, 2) increasing industry risk factors, 3) deteriorating
\n
financial condition of the issuer, 4) covenant violations by the issuer, 5) high probability of bankruptcy of the issuer, or 6)
\n
downgrades by internationally recognized credit rating agency. Additionally, for asset-backed securities, cash flow trends and
\n
underlying levels of collateral are monitored. A security is impaired if there is objective evidence that a loss event has occurred
\n
after the initial recognition of the asset that has a negative impact on the estimated future cash flows.
\n
For details on impairments on financial assets, including receivables, refer to note 15 Impairment charges / (reversals).
\n
Past due and impaired assets
\n
The tables that follow provide information on past due and individually impaired financial assets for the whole Aegon Group.
\n
An asset is past due when a counterparty has failed to make a payment when contractually due. Assets are impaired when
\n
an impairment loss has been charged to the income statement relating to this asset. After the impairment loss is reversed
\n
in subsequent periods, the asset is no longer considered to be impaired. When the terms and conditions of financial assets
\n
have been renegotiated, the terms and conditions of the new agreement apply in determining whether the financial assets
\n
are past due.
\n
Aegon Integrated Annual Report
2022 |
189
\n
Notes to the consolidated financial statements
Note 4
Aegon's policy is to pursue realization of the collateral in an orderly manner as and when liquidity permits. Aegon generally does
\n
not use the non-cash collateral for its own operations.
\n
2022
\n
1)
\n
2021
\n
Past due but not impaired assets
0-6 months
\n
6-12
\n
months
> 1 year
Total
\n
0-6
\n
months
\n
6-12
\n
months
> 1 year
Total
\n
Debt securities - carried at fair value
1,155
572
25
1,751
1,171
255
40
1,466
\n
Mortgage loans
-
-
-
-
129
1
1
131
\n
Other loans
-
-
-
-
19
5
10
35
\n
Accrued interest
28
22
-
50
30
10
3
42
\n
Other financial assets - carried at fair
\n
value
-
-
-
-
-
-
-
-
\n
At December 31
1,183
593
25
1,802
1,350
271
54
1,675
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Impaired financial assets
Carrying amount 2022
\n
1)
\n
Carrying amount 2021
\n
Shares
10
62
\n
Debt securities - carried at fair value
500
635
\n
Mortgage loans
-
10
\n
Other loans
-
2
\n
Other financial assets - carried at fair value
1
14
\n
At December 31
510
723
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Equity market risk and other investments risk
\n
Fluctuations in the equity, real estate and capital markets have affected Aegon's profitability, capital position and sales of equity
\n
related products in the past and may continue to do so. Exposure to equity, real estate and capital markets exists in both
\n
assets and liabilities. Asset exposure exists through direct equity investment, where Aegon bears all or most of the volatility
\n
in returns and investment performance risk. Equity market exposure is also present in insurance and investment contracts for
\n
policyholders where funds are invested in equities, backing variable annuities, unit-linked products and mutual funds. Although
\n
most of the risk remains with the policyholder, lower investment returns can reduce the asset management fee earned
\n
by Aegon on the asset balance in these products. In addition, some of this business has minimum return or accumulation
\n
guarantees.
\n
In 2021, Transamerica expanded its dynamic hedge program to variable annuities with guaranteed minimum death benefit
\n
riders (GMDB) and remaining policies with guaranteed minimum income (GMIB) riders. This builds on the effective dynamic
\n
hedge program of policies with guaranteed minimum withdrawal benefits (GMWB). The dynamic hedge program covers
\n
the equity risks (and interest rate risk) embedded in the guarantees of its entire variable annuity portfolio. Dynamic hedging
\n
stabilizes cash flows and reduces sensitivities to changes in equity markets (and interest rates) on an economic basis.
\n
The general account equity, real estate and other non-fixed-income portfolio of Aegon is as follows:
\n
Equity, real estate and non-fixed income exposure
Americas
United Kingdom
International
\n
Asset
\n
Management
\n
Holding and
\n
other activities
Total 2022
\n
1)
\n
Equity funds
141
-
3
7
-
151
\n
Common shares
\n
2)
\n
148
25
5
-
1
179
\n
Preferred shares
56
-
-
-
-
56
\n
Investments in real estate
42
-
17
-
-
59
\n
Hedge funds
10
-
-
-
-
10
\n
Other alternative investments
2,168
-
-
-
-
2,168
\n
Other financial assets
1,848
531
5
1
-
2,385
\n
At December 31
4,414
556
30
9
1
5,009
\n
1
\n
2022 excludes the exposures of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2
\n
Common shares in Holding and other activities includes the elimination of treasury shares in the general account for an amount of EUR nil million.
\n
|
Aegon Integrated Annual Report
2022
190
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Equity, real estate and non-fixed income
\n
exposure
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
International
\n
Asset
\n
Management
\n
Holding and
\n
other
\n
activities
Total 2021
\n
Equity funds
175
34
-
63
9
-
280
\n
Common shares
\n
1)
\n
190
-
29
5
-
1
226
\n
Preferred shares
128
-
-
-
-
-
128
\n
Investments in real estate
39
2,588
-
16
-
-
2,643
\n
Hedge funds
35
-
-
-
-
-
35
\n
Other alternative investments
1,934
432
-
-
-
-
2,366
\n
Other financial assets
1,595
1,023
598
7
2
-
3,225
\n
At December 31
4,097
4,076
628
91
10
1
8,903
\n
1
\n
Common shares in Holding and other activities includes the elimination of treasury shares in the general account for an amount of EUR nil million.
\n
Market risk concentrations \u2013 shares
Americas
United Kingdom
International
\n
Asset
\n
Management
Total 2022
\n
1)
2)
\n
Of which
\n
impaired assets
\n
Communication
2
-
-
-
2
-
\n
Consumer
13
-
-
-
13
-
\n
Financials
184
-
5
-
189
7
\n
Funds
19
25
-
-
45
1
\n
Industries
4
-
-
-
4
-
\n
Other
123
-
4
7
135
-
\n
At December 31
345
25
10
7
388
10
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the market risk concentrations of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Market risk concentrations \u2013 shares
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
International
\n
Asset
\n
Management
\n
Total 2021
\n
1)
\n
Of which
\n
impaired
\n
assets
\n
Communication
1
-
-
-
-
1
-
\n
Consumer
5
-
-
-
-
5
1
\n
Financials
411
4
-
5
-
420
39
\n
Funds
-
1,406
29
62
-
1,498
17
\n
Industries
42
-
-
-
-
42
5
\n
Other
35
-
-
5
9
49
-
\n
At December 31
493
1,410
29
72
9
2,015
62
\n
1
\n
Includes investments of Holding and other activities.
\n
The table that follows sets forth the closing levels of certain major indices at the end of the last five years.
\n
2022
2021
2020
2019
2018
\n
S&P 500
3,840
4,766
3,756
3,231
2,507
\n
Nasdaq
10,466
15,645
12,888
8,973
6,635
\n
FTSE 100
7,452
7,385
6,461
7,542
6,728
\n
AEX
689
798
625
605
488
\n
The sensitivity analysis of net result and shareholders' equity to changes in equity prices is presented in the table
\n
below. The sensitivity of shareholders' equity and net result to changes in equity markets reflects changes in the market
\n
value of Aegon's portfolio, changes in DPAC amortization, contributions to pension plans for Aegon's employees and
\n
the strengthening of the guaranteed minimum benefits, when applicable. Aegon generally has positive income benefits from
\n
equity market increases and negative impacts from equity market declines as it earns fees on policyholder account balances
\n
and provides minimum guarantees for account values. Aegon uses options and other equity derivatives to provide protection
\n
against the negative impact of equity market declines.
\n
Aegon Integrated Annual Report
2022 |
191
\n
Notes to the consolidated financial statements
Note 4
Sensitivity analysis of net result and shareholders\u2019 equity to equity markets
\n
Immediate change of
\n
Estimated approximate effects
\n
on net result
\n
Estimated approximate effects
\n
on shareholders' equity
\n
2022
\n
1)
\n
Equity increase 10%
168
202
\n
Equity decrease 10%
(237)
(288)
\n
Equity increase 25%
358
456
\n
Equity decrease 25%
(551)
(666)
\n
2021
\n
1)
\n
Equity increase 10%
151
341
\n
Equity decrease 10%
(212)
(221)
\n
Equity increase 25%
322
660
\n
Equity decrease 25%
(529)
(685)
\n
1
\n
Includes the approximate effects of the disposal group
\n
Interest rate risk
\n
Aegon bears interest rate risk with many of its products. In cases where cash flows are highly predictable, investing in assets
\n
that closely match the cash flow profile of the liabilities can offset this risk. For some Aegon country units, local capital
\n
markets are not well developed, which prevents the complete matching of assets and liabilities for those businesses. For some
\n
products, cash flows are less predictable as a result of policyholder actions that can be affected by the level of interest rates.
\n
In periods of rapidly increasing interest rates, policy loans, surrenders and withdrawals may increase. Premiums in flexible
\n
premium policies may decrease as policyholders seek investments with higher perceived returns. This activity may result
\n
in cash payments by Aegon requiring the sale of invested assets at a time when the prices of those assets are adversely
\n
affected by the increase in market interest rates; this may result in realized investment losses. These cash payments
\n
to policyholders result in a decrease in total invested assets and a decrease in net result. Among other things, early withdrawals
\n
may also require accelerated amortization of DPAC, which in turn reduces net result.
\n
During periods of sustained low interest rates, Aegon may not be able to preserve margins as a result of minimum interest rate
\n
guarantees and minimum guaranteed crediting rates provided on policies. Also, investment earnings may be lower because
\n
the interest earnings on new fixed-income investments are likely to have declined with the market interest rates. Mortgage
\n
loans and redeemable bonds in the investment portfolio are more likely to be repaid as borrowers seek to borrow at lower
\n
interest rates and Aegon may be required to reinvest the proceeds in securities bearing lower interest rates. Accordingly, net
\n
result declines as a result of a decrease in the spread between returns on the investment portfolio and the interest rates either
\n
credited to policyholders or assumed in reserves.
\n
Aegon manages interest rate risk closely, taking into account all of the complexity regarding policyholder behavior and
\n
management action. Aegon employs sophisticated interest rate measurement techniques and actively uses derivatives
\n
and other risk mitigation tools to closely manage its interest rate risk exposure. Aegon operates an Investment &
\n
Counterparty Risk policy that limits the amount of interest rate risk to which the Group is exposed. All derivative use
\n
is governed by Aegon's Derivative Use Policy. A detailed description on the use of derivatives within Aegon is included in note
\n
24 Derivatives.
\n
In 2020 Transamerica commenced a multi-year plan to gradually reduce its economic interest rate risk, primarily by lengthening
\n
the duration of the assets to provide a closer match to the liability duration and extending the existing forward starting swap
\n
program. The program has been completed in 2022.
\n
Furthermore, in 2021, Transamerica expanded its dynamic hedge program to variable annuities with guaranteed minimum
\n
death benefit riders (GMDB) and remaining policies with guaranteed minimum income (GMIB) riders. This builds on the effective
\n
dynamic hedge program of policies with guaranteed minimum withdrawal benefits (GMWB). The dynamic hedge program
\n
covers the interest rate (and equity risks) embedded in the guarantees of its entire variable annuity portfolio. Dynamic hedging
\n
stabilizes cash flows and reduces sensitivities to changes in interest rates (and equity markets) on an economic basis.
\n
The following table shows interest rates at the end of each of the last five years.
\n
|
Aegon Integrated Annual Report
2022
192
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
2022
2021
2020
2019
2018
\n
3-month US LIBOR
4.77%
0.21%
0.24%
1.91%
2.81%
\n
3-month EURIBOR
2.13%
(0.57%)
(0.55%)
(0.38%)
(0.31%)
\n
10-year US Treasury
3.83%
1.78%
0.91%
1.91%
2.69%
\n
10-year Dutch government
2.91%
(0.03%)
(0.48%)
(0.06%)
0.39%
\n
The sensitivity analysis in the table below shows an estimate of the effect of a parallel shift in the yield curves on net result
\n
and shareholders' equity arising from the impact on general account investments and offset due to liabilities from insurance
\n
and investment contracts. Timing and valuation differences between assets and liabilities may cause short-term reductions
\n
in net result as rates rise. Rising interest rates would also cause the fair value of the available-for-sale bond portfolio to decline
\n
and the level of unrealized gains could become too low to support recoverability of the full deferred tax asset triggering
\n
an allowance charge to income. The offsetting economic gain on the insurance and investment contracts is however not
\n
fully reflected in the sensitivities because many of these liabilities are not measured at fair value. The short to medium term
\n
reduction in net result due to rising interest rates would be offset by higher net result in later years, all else being equal.
\n
Therefore, higher interest rates are not considered a long-term risk to the Group. However, a long sustained period of low
\n
interest rates will erode net result due to lower returns earned on reinvestments and due to lower long term returns from
\n
decreased overall portfolio yields.
\n
Parallel movement of yield curve
\n
Estimated approximate effects
\n
on net result
\n
Estimated approximate effects
\n
on shareholders' equity
\n
2022
\n
1)
\n
Shift up 100 basis points
(776)
(4,485)
\n
Shift down 100 basis points
(582)
2,577
\n
2021
\n
1)
\n
Shift up 100 basis points
(340)
(4,227)
\n
Shift down 100 basis points
127
3,627
\n
1
\n
Includes the approximate effects of the disposal group
\n
Aegon\u2019s sensitivity to interest rate risk has changed per December 31, 2022 compared to December 31, 2021 and is mainly
\n
the result of the improvements in the LAT deficit in the Netherlands, refer to note 51 Discontinued operations. The impact
\n
from increasing interest rates on the result before tax is capped to the net LAT deficit position in the Netherlands. The impact
\n
from decreasing interest rates on result before tax is changed as there is no revaluation reserve available for shadow loss
\n
recognition in the net LAT deficit.
\n
The hedge strategy targets minimal mismatch according to the Aegon economic framework (which broadly aligns with
\n
Solvency II Own Funds) and stabilizes Solvency II ratio volatility to a large extent.
\n
Risks and risks management arising from financial instruments subject to interest rate benchmark reform
\n
The future of IBORs (Interbank Offered Rates) such as EURIBOR, EONIA and LIBOR has been a major topic on the global agenda
\n
since the G20 asked the Financial Stability Board (FSB) to undertake a fundamental review of leading interest rate benchmarks
\n
in 2013. The FSB proposed new standards to reform interest rate benchmarks and the use of transaction-based input data
\n
instead of non-transactional/panel input data.
\n
To prepare for the IBOR transition all Aegon units have written transition plan containing among others project solutions and
\n
actions, timelines and ownership to ensure timely preparation and implementation. We are currently implementing the actions
\n
as described in the transition plans.
\n
There are no plans for the discontinuation for EURIBOR and appropriate fallback language has been implemented for
\n
derivatives via the International Swaps and Derivatives Association ('ISDA') fallback protocol and rulebook changes
\n
by the clearing houses.
\n
In the US the relevant USD LIBOR benchmark rates are expected to remain available for existing contracts until mid 2023 and
\n
these instruments are expected to either be transitioned actively to Secured Overnight Funding Rate ('SOFR') before the 2023
\n
deadline, via the ISDA fallback protocol or via a legislative solution.
\n
In July 2020 the discount rates of EUR cleared derivatives switched from EONIA to \u20acSTR which impacted the valuation
\n
of derivatives for which compensation was exchanged. All EUR Credit Support Annex ('CSA') which have positions outstanding
\n
Aegon Integrated Annual Report
2022 |
193
\n
Notes to the consolidated financial statements
Note 4
have been amended from EONIA to \u20acSTR discounting. In the US, the cleared market has switched discount rates from Fed
\n
Funds to SOFR in October 2020. The switch in discount rates is expected to lead to increased liquidity in the new risk free rates.
\n
Aegon recognizes that the reform of IBORs and any transition to replacement rates entail risks for all our businesses across our
\n
assets and liabilities. These risks include, but are not limited to:
\n
\u2022
\n
Legal risks, as Aegon is required to make changes to documentation for new and existing transactions, such as funding
\n
instruments issued with an IBOR reference and derivatives held with an IBOR reference;
\n
\u2022
\n
Financial risks, arising from any changes in the valuation of financial instruments linked to benchmark rates, such as
\n
derivatives and floating rate notes, issued by, or invested in by Aegon;
\n
\u2022
\n
Pricing risks, as changes to benchmark indices could impact pricing mechanisms on some funding instruments or
\n
investments;
\n
\u2022
\n
Operational risks, due to the potential requirement to adapt informational technology systems, trade reporting infrastructure
\n
and operational processes; and
\n
\u2022
\n
Conduct risks, relating to communication with potential impact on Aegon\u2019s customers, and engagement during the transition
\n
period.
\n
Various supranational institutions, central banks, regulators, benchmark administrators and industry working groups play
\n
a role in the benchmark reform and the preparation for the replacement of IBORs. Although a lot of work has been done, there
\n
is still significant uncertainty around liquidity development, and the timetable and mechanisms for implementation, including
\n
application of spread adjustments to the alternative reference rates. Accordingly, it is not currently possible to determine
\n
whether, or to what extent, any such changes would affect Aegon. However, the implementation of alternative reference rates
\n
may have a material adverse effect on Aegon\u2019s business, financial condition, customers, and operations.
\n
The table below summarize the exposures of non-derivative financial assets and non-derivative liabilities that yet have
\n
to transition to alternative benchmark rates.
\n
Non derivative financial instruments to transition to
\n
alternative benchmark
\n
2022
\n
1)
\n
2021
\n
Financial assets
\n
non-derivatives
\n
Financial
\n
liabilities
\n
non-derivatives
\n
Financial assets
\n
non-derivatives
\n
Financial
\n
liabilities
\n
non-derivatives
\n
By benchmark rate
\n
GBP LIBOR
27
-
19
-
\n
USD LIBOR
814
1,218
822
1,143
\n
Euribor
34
1,200
3,095
1,200
\n
Fed Funds
-
-
102
-
\n
Total
875
2,418
4,038
2,343
\n
1
\n
2022 excludes the non derivative financial instruments of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
The table below summarize the exposures of derivatives that yet have to transition to alternative benchmark rates.
\n
Derivative financial instruments to transition to alternative benchmark
\n
2022
\n
1)
\n
2021
\n
Nominal Value
Nominal Value
\n
By benchmark rate
\n
GBP LIBOR
-
-
\n
USD LIBOR
39,752
54,232
\n
Euribor
563
113,593
\n
Fed Funds
-
3,574
\n
Total
40,315
171,399
\n
1
\n
2022 excludes the derivative financial instruments of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Currency exchange rate risk
\n
As an international group, Aegon is subject to foreign currency translation risk. Foreign currency exposure exists mainly
\n
when policies are denominated in currencies other than the issuer's functional currency. Currency risk in the investment
\n
portfolios backing insurance and investment liabilities is managed using asset liability matching principles. Assets allocated
\n
to equity are kept in local currencies to the extent shareholders' equity is required to satisfy regulatory and self-imposed
\n
capital requirements. Therefore, currency exchange rate fluctuations will affect the level of shareholders' equity as a result
\n
of translation of subsidiaries into euro, the Group's presentation currency. Aegon holds the remainder of its capital base
\n
|
Aegon Integrated Annual Report
2022
194
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
(perpetual capital securities, subordinated and senior debt) in various currencies in amounts that are targeted to correspond
\n
to the book value of the country units. This balancing mitigates currency translation impacts on shareholders' equity and
\n
leverage ratios. Aegon does not hedge the income streams from the main non-euro units and, as a result, earnings may
\n
fluctuate due to currency translation. As Aegon has significant business segments in the Americas and in the United Kingdom,
\n
the principal sources of exposure from currency fluctuations are from the differences between the US dollar and the euro and
\n
between the UK pound and the euro. Aegon may experience significant changes in net result and shareholders' equity because
\n
of these fluctuations.
\n
Aegon operates an Investment & Counterparty Risk Policy which applies currency risk exposure limits both at Group and
\n
regional levels, and under which direct currency speculation or program trading by country units is not allowed unless explicit
\n
approval has been granted by the Group Risk and Capital Committee and the Management Board. Assets should be held
\n
in the functional currency of the business written or hedged back to that currency. Where this is not possible or practical,
\n
remaining currency exposure should be sufficiently documented and limits are placed on the total exposure at both group level
\n
and for individual country units.
\n
Information on Aegon's three year historical net result and shareholders' equity in functional currency are shown
\n
in the table below:
\n
2022
2021
2020
\n
Net result
\n
Americas (in USD)
(1,486)
1,195
(611)
\n
United Kingdom (in GBP)
146
104
60
\n
Equity in functional currency
\n
Americas (in USD)
6,228
18,324
19,127
\n
United Kingdom (in GBP)
1,108
1,260
1,391
\n
The exchange rates for US dollar and UK pound per euro for each of the last five year ends are set forth in the table below:
\n
Closing rates
2022
2021
2020
2019
2018
\n
USD
1.07
1.14
1.22
1.12
1.14
\n
GBP
0.89
0.84
0.90
0.85
0.90
\n
Aegon Group companies' foreign currency exposure from monetary assets and liabilities denominated in foreign currencies
\n
(that is, other than the entity's functional currency), is not material.
\n
The sensitivity analysis in the following table shows an estimate of the translation effect of movements in the exchange rates
\n
of functional currencies of foreign subsidiaries against the euro presentation currency of the Group's financial statements,
\n
on net income and shareholders' equity.
\n
Aegon Integrated Annual Report
2022 |
195
\n
Notes to the consolidated financial statements
Note 4
Sensitivity analysis of net result and shareholders' equity to translation risk
\n
Movement of currency exchange rates
\n
1)
\n
Estimated approximate effects
\n
on net result
\n
Estimated approximate effects
\n
on shareholders' equity
\n
2022
\n
2)
\n
Increase by 15% of USD currencies relative to the euro
(230)
1,342
\n
Increase by 15% of GBP currencies relative to the euro
188
2,125
\n
Increase by 15% of non-euro currencies relative to the euro
(220)
1,590
\n
Decrease by 15% of USD currencies relative to the euro
169
(1,024)
\n
Decrease by 15% of GBP currencies relative to the euro
141
1,497
\n
Decrease by 15% of non-euro currencies relative to the euro
163
(1,175)
\n
2021
\n
2)
\n
Increase by 15% of USD currencies relative to the euro
205
3,249
\n
Increase by 15% of GBP currencies relative to the euro
152
1,900
\n
Increase by 15% of non-euro currencies relative to the euro
244
3,541
\n
Decrease by 15% of USD currencies relative to the euro
(153)
(2,441)
\n
Decrease by 15% of GBP currencies relative to the euro
107
1,315
\n
Decrease by 15% of non-euro currencies relative to the euro
(179)
(2,616)
\n
1
\n
The effect of currency exchange movements is reflected as a one-time shift up or down in the value of the non-euro currencies relative to the euro on December 31.
\n
2
\n
Includes the approximate effects of the disposal group
\n
Liquidity risk
\n
Liquidity risk is inherent in much of Aegon's business. Each asset purchased and liability incurred has its own liquidity
\n
characteristics. Some liabilities are surrenderable while some assets, such as privately placed loans, mortgage loans, real
\n
estate and limited partnership interests, have low liquidity. If Aegon requires significant amounts of cash on short notice
\n
in excess of normal cash requirements and existing credit facilities, it may have difficulty selling these investments at attractive
\n
prices or in a timely manner. Liquidity risk is also affected by the use of collateralized financial derivatives to mitigate other risks.
\n
Aegon operates a Liquidity Risk Policy under which country units are obliged to maintain sufficient levels of highly liquid
\n
assets to meet cash demands by policyholders and account holders over the next two years. Potential cash demands are
\n
assessed under a stress scenario including spikes in disintermediation risk due to rising interest rates and concerns over
\n
Aegon's financial strength due to multiple downgrades of the Group's credit rating. At the same time, the liquidity of assets
\n
other than cash and government issues is assumed to be severely impaired for an extended period of time. All legal entities and
\n
Aegon Group must maintain enough liquidity in order to meet all cash needs under this extreme scenario.
\n
Aegon held EUR 13,392 million of general account investments in cash, money market products and government bonds that
\n
are readily saleable or redeemable on demand, which excludes the investment of the disposal group (2021: EUR 31,101 million
\n
and includes the disposal group). The Group expects to meet its obligations, even in a stressed liquidity event, from operating
\n
cash flows and the proceeds of maturing assets as well as these highly liquid assets. Further, the Group has access
\n
to back-up credit facilities, as disclosed in note 37 Borrowings, amounting to EUR 3,435 million which were unused at the end
\n
of the reporting period (2021: EUR 3,399 million).
\n
The maturity analysis below shows the remaining contractual maturities of each category of financial liabilities (including
\n
coupon interest). When the counterparty has a choice of when an amount is paid, the liability is included on the basis
\n
of the earliest date on which it can be required to be paid. Financial liabilities that can be required to be paid on demand
\n
without any delay are reported in the category 'On demand.' If there is a notice period, it has been assumed that notice
\n
is given immediately and the repayment has been presented at the earliest date after the end of the notice period. When
\n
the amount payable is not fixed, the amount reported is determined by reference to the conditions existing at the reporting
\n
date. For example, when the amount payable varies with changes in an index, the amount disclosed may be based on the level
\n
of the index at the reporting date.
\n
To manage the liquidity risk arising from financial liabilities, Aegon holds liquid assets comprising cash and cash equivalents
\n
and investment grade investment securities for which there is an active and liquid market. These assets can be readily sold
\n
to meet liquidity requirements. For this reason, Aegon believes that it is not necessary to disclose a maturity analysis in respect
\n
of these assets to enable users to evaluate the nature and extent of liquidity risk.
\n
|
Aegon Integrated Annual Report
2022
196
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Maturity analysis \u2013 gross undiscounted
\n
contractual cash flows (for non-derivatives)
On demand
< 1 yr amount
\n
1 < 5 yrs
\n
amount
\n
5 < 10 yrs
\n
amount
\n
> 10 yrs
\n
amount
Total amount
\n
2022
\n
2)
\n
Trust pass-through securities
-
10
114
17
60
200
\n
Subordinated loans
-
113
370
242
3,068
3,792
\n
Borrowings
-
1,312
3,130
94
500
5,036
\n
Lease liabilities
-
35
99
63
55
251
\n
Other financial liabilities
4,263
795
355
34
47
5,495
\n
Total financial liabilities (excluding
\n
investment/insurance contracts)
4,263
2,265
4,067
450
3,729
14,775
\n
Investment contracts
\n
1)
\n
9,642
1,445
385
186
141
11,798
\n
Investment contracts for account of
\n
policyholders
\n
1)
\n
22,748
31,186
7
4
2
53,948
\n
Total investment contracts
32,389
32,631
392
190
143
65,746
\n
2021
\n
Trust pass-through securities
-
9
113
16
60
197
\n
Subordinated loans
-
108
377
246
2,964
3,695
\n
Borrowings
-
901
7,651
956
1,052
10,559
\n
Lease liabilities
-
37
86
67
70
259
\n
Other financial liabilities
4,993
1,749
325
154
224
7,444
\n
Total financial liabilities (excluding
\n
investment/insurance contracts)
4,993
2,803
8,551
1,439
4,368
22,154
\n
Investment contracts
\n
1)
\n
17,254
2,681
2,114
1,101
655
23,804
\n
Investment contracts for account of
\n
policyholders
\n
1)
\n
34,756
34,571
10
6
4
69,347
\n
Total investment contracts
52,009
37,252
2,124
1,107
659
93,151
\n
1
\n
Excluding investment contracts with discretionary participating features.
\n
2
\n
2022 excludes the liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Aegon's liquidity management is based on expected claims and benefit payments rather than on the contractual maturities.
\n
The projected cash benefit payments in the table below are based on management's best estimates of the expected gross
\n
benefits and expenses, partially offset by the expected gross premiums, fees and charges relating to the existing business
\n
in force. Estimated cash benefit payments are based on mortality, morbidity and lapse assumptions based on Aegon's historical
\n
experience, modified for recently observed trends. Actual payment obligations may differ if experience varies from these
\n
assumptions. The cash benefit payments are presented on an undiscounted basis and are before deduction of tax and before
\n
reinsurance.
\n
Financial liabilities relating to insurance and
\n
investment contracts
\n
1)
\n
On demand
< 1 yr amount
\n
1 < 5 yrs
\n
amount
\n
5 < 10 yrs
\n
amount
\n
> 10 yrs
\n
amount
\n
Total
\n
amount
\n
2022
\n
2)
\n
Insurance contracts
-
3,432
11,364
11,946
116,169
142,911
\n
Insurance contracts for account of policyholders
-
7,456
30,877
29,565
113,346
181,245
\n
Investment contracts
-
1,737
4,814
2,581
4,379
13,511
\n
Investment contracts for account of
\n
policyholders
-
6,107
23,626
26,970
89,126
145,829
\n
-
18,732
70,681
71,062
323,021
483,496
\n
2021
\n
Insurance contracts
-
4,260
16,215
18,438
127,344
166,257
\n
Insurance contracts for account of policyholders
-
11,494
41,638
39,941
131,667
224,740
\n
Investment contracts
-
8,324
7,975
3,847
4,438
24,584
\n
Investment contracts for account of
\n
policyholders
193
14,011
27,637
31,715
84,825
158,381
\n
193
38,089
93,465
93,941
348,274
573,962
\n
1
\n
The liability amount in the consolidated financial statements reflects the discounting for interest as well as adjustments for the timing of other factors as
\n
described above. As a result, the sum of the cash benefit payments shown for all years in the table exceeds the corresponding liability amounts included in notes
\n
34 Insurance contracts and 35 Investments contracts.
\n
2
\n
2022 excludes the liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Aegon Integrated Annual Report
2022 |
197
\n
Notes to the consolidated financial statements
Note 4
The following table details the Group's liquidity analysis for its derivative financial instruments, based on the undiscounted
\n
contractual net cash inflows and outflows on derivative instruments that settle on a net basis, and the undiscounted gross
\n
inflows and outflows on those derivatives that require gross settlement.
\n
Maturity analysis relating to derivatives
\n
1)
\n
(Contractual cash flows)
On demand
< 1 yr amount
\n
1 < 5 yrs
\n
amount
\n
5 < 10 yrs
\n
amount
\n
> 10 yrs
\n
amount
Total amount
\n
2022
\n
2)
\n
Gross settled
\n
Cash inflows
-
15,301
575
675
1,741
18,293
\n
Cash outflows
-
(15,242)
(443)
(633)
(1,600)
(17,919)
\n
Net settled
\n
Cash inflows
-
1,552
4,255
3,812
6,227
15,846
\n
Cash outflows
-
(1,937)
(4,222)
(3,700)
(14,214)
(24,072)
\n
2021
\n
Gross settled
\n
Cash inflows
-
4,300
3,728
5,034
104,335
117,396
\n
Cash outflows
-
(4,895)
(7,080)
(9,499)
(105,376)
(126,850)
\n
Net settled
\n
Cash inflows
-
683
3,442
3,640
5,375
13,140
\n
Cash outflows
-
(780)
(3,032)
(3,102)
(12,591)
(19,505)
\n
1
\n
Derivatives includes all financial derivatives regardless whether they have a positive or a negative value. It does not include bifurcated embedded derivatives.
\n
These are presented together with the host contract. For interest rate derivatives only, cash flows related to the pay leg are taken into account for determining the
\n
gross undiscounted cash flows.
\n
2
\n
2022 excludes the derivatives of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\nFor maturity information on other obligations, please refer to note 45 Commitments and contingencies.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfFinancialRiskManagementExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f23107": {
"value": "Credit risk
As premiums and deposits are received, these funds are invested to pay for future policyholder obligations. For general account
\n
products, Aegon typically bears the risk for investment performance which is equal to the return of principal and interest. Aegon
\n
is exposed to credit risk on its general account fixed-income portfolio (debt securities, mortgages and private placements),
\n
over-the-counter derivatives and reinsurance contracts. Some issuers have defaulted on their financial obligations for various
\n
reasons, including bankruptcy, lack of liquidity, downturns in the economy, downturns in real estate values, operational failure
\n
and fraud. During financial downturns, Aegon can incur defaults or other reductions in the value of these securities and loans,
\n
which could have a materially adverse effect on Aegon's business, results of operations and financial condition. Investments for
\n
account of policyholders are excluded as the policyholder bears the credit risk associated with the investments.
\n
Aegon Integrated Annual Report
2022 |
179
\n
Notes to the consolidated financial statements
Note 4
The table that follows shows the Group's maximum exposure to credit risk from investments in general account financial
\n
assets, as well as general account derivatives and reinsurance assets, collateral held and net exposure. Please refer to note
\n
45 and 46 for further information on capital commitments and contingencies and on collateral given, which may expose
\n
the Group to credit risk.
\n
2022
\n
1)
\n
Maximum
\n
exposure
\n
to credit
\n
risk
Cash
Securities
\n
Letters of
\n
credit /
\n
guarantees
\n
Real
\n
estate
\n
property
\n
Master
\n
netting
\n
agree-
\n
ments
Other
\n
Total
\n
collateral
\n
Surplus
\n
collateral (or
\n
overcollater-
\n
alization)
\n
Net
\n
exposure
\n
Debt securities -
\n
carried at fair value
53,647
-
-
96
-
-
-
96
-
53,551
\n
Money market and
\n
other short-term
\n
investments
\n
- carried at fair value
5,613
-
312
-
-
-
-
312
23
5,324
\n
Mortgage loans -
\n
carried at amortized
\n
cost
10,441
40
-
22
24,822
-
-
24,883
14,442
1
\n
Private loans - carried
\n
at amortized cost
27
11
-
-
-
-
-
11
-
15
\n
Other loans - carried
\n
at amortized cost
2,088
-
-
-
-
-
3,510
3,510
1,470
47
\n
Other financial assets
\n
- carried at fair value
4,562
-
-
-
-
-
-
-
-
4,562
\n
Derivatives
2,707
246
426
-
-
2,174
-
2,846
173
33
\n
Reinsurance assets
21,184
-
14,162
103
-
-
-
14,265
-
6,919
\n
At December 31
100,269
297
14,900
221
24,822
2,174
3,510
45,923
16,108
70,453
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Maximum
\n
exposure
\n
to credit
\n
risk
Cash
Securities
\n
Letters of
\n
credit /
\n
guarantees
\n
Real
\n
estate
\n
property
\n
Master
\n
netting
\n
agree-
\n
ments
Other
\n
Total
\n
collateral
\n
Surplus
\n
collateral (or
\n
overcollater-
\n
alization)
\n
Net
\n
exposure
\n
Debt securities -
\n
carried at fair value
97,195
-
-
221
-
-
-
221
-
96,974
\n
Money market and
\n
other short-term
\n
investments
\n
- carried at fair value
4,910
-
330
-
-
-
-
330
21
4,601
\n
Mortgage loans -
\n
carried at amortized
\n
cost
40,624
2,684
-
32
75,412
-
-
78,128
38,197
693
\n
Private loans - carried
\n
at amortized cost
4,883
33
-
-
-
-
-
33
-
4,850
\n
Other loans - carried
\n
at amortized cost
1,949
-
-
-
-
-
1,872
1,872
1,346
1,423
\n
Other financial assets
\n
- carried at fair value
4,245
-
-
-
-
-
-
-
-
4,245
\n
Derivatives
8,780
2,555
107
-
-
5,921
-
8,583
66
263
\n
Reinsurance assets
20,992
-
3,784
77
-
-
-
3,861
-
17,131
\n
At December 31
183,577
5,272
4,221
330
75,412
5,921
1,872
93,028
39,630
130,180
\n
Investment exposure to Russia
\n
In 2022, following the Russian invasion of Ukraine, Aegon has reduced its general account investment exposure to Russia
\n
from EUR 27 million to almost nil per December 31, 2022. The remaining investment positions currently cannot be sold
\n
as these investments are in companies which are in scope of international sanctions imposed on Russia following the invasion
\n
of Ukraine. Aegon has no operations in Russia.
\n
Debt securities
\n
Several bonds in Aegon's Americas' portfolio are guaranteed by Monoline insurers. This is shown in the table above
\n
in the column 'Letters of credit / guarantees'.
\n
|
Aegon Integrated Annual Report
2022
180
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Money market and short-term investments
\n
The collateral reported for the money market and short-term investments are related to tri-party repurchase agreements
\n
(repos). Within tri-party repos Aegon invests under short-term reverse repurchase agreements and the counterparty posts
\n
collateral to a third party custodian. The collateral posted is typically high-quality, short-term securities and is only accessible
\n
for or available to Aegon in the event the counterparty defaults.
\n
Mortgage loans
\n
The real estate collateral for mortgages includes both residential and commercial properties. The collateral for commercial
\n
mortgage loans in Aegon Americas is measured at fair value. At a minimum on an annual basis, a fair value is estimated for each
\n
individual real estate property that has been pledged as collateral. When a loan is originally provided, an external appraisal
\n
is obtained to estimate the value of the property. In subsequent years, the value is typically estimated internally using various
\n
professionally accepted valuation methodologies. Internal appraisals are performed by qualified, professionally accredited
\n
personnel. International valuation standards are used and the most significant assumptions made during the valuation of real
\n
estate are the current cost of reproducing or replacing the property, the value that the property's net earning power will support,
\n
and the value indicated by recent sales of comparable properties. Valuations are primarily supported by market evidence.
\n
For Aegon the Netherlands, collateral for the residential mortgages is measured as the foreclosure value which is indexed
\n
periodically.
\n
Cash collateral for mortgage loans includes the savings that have been received to redeem the underlying mortgage loans
\n
at redemption date. These savings are part of the credit side of the statement of financial position, but reduce the credit risk for
\n
the mortgage loan as a whole.
\n
A substantial part of Aegon's Dutch residential mortgage loan portfolio benefits from guarantees by a Dutch government-
\n
backed trust (Stichting Waarborgfonds Eigen Woning) through the Dutch Mortgage loan Guarantee program (NHG). With
\n
exception of NHG-backed mortgage loans originated after January 1, 2014, for which a 10% lender-incurred haircut applies
\n
on realized losses on each defaulted loan, these guarantees cover all principal losses, missed interest payments and
\n
foreclosure costs incurred upon termination and settlement of defaulted mortgage loans when lender-specific terms and
\n
conditions of the guarantee are met. When not fully met, the trust may pay claims in part or in full, depending on the severity
\n
of the breach of terms and conditions. For each specific loan, the guarantee amortizes in line with an equivalent annuity
\n
mortgage loan. When the remaining loan balance at default does not exceed the amortized guarantee, it covers the full loss
\n
under its terms and conditions. Any loan balance in excess of this decreasing guarantee profile serves as a first loss position
\n
for the lender.
\n
Derivatives
\n
The master netting agreements column in the table relates to derivative liability positions which are used in Aegon's credit
\n
risk management. The offset in the master netting agreements column includes balances where there is a legally enforceable
\n
right of offset, but no intention to settle these balances on a net basis under normal circumstances. As a result, there is a net
\n
exposure for credit risk management purposes. However, as there is no intention to settle these balances on a net basis, they
\n
do not qualify for net presentation for accounting purposes.
\n
Reinsurance assets
\n
The collateral related to the reinsurance assets include assets in trust that are held by the reinsurer for the benefit of Aegon.
\n
The assets in trust can be accessed to pay policyholder benefits in the event the reinsurers fail to perform under the terms
\n
of their contract. Further information on the related reinsurance transactions is included in note 26 Reinsurance assets.
\n
Other loans
\n
The collateral included in the other column represents the policyholders account value for policy loans. The excess
\n
of the account value over the loan value is included in the surplus collateral column. For further information on the policy loans
\n
refer to note 22.1 Financial assets, excluding derivatives.
\n
The total collateral includes both under- and over-collateralized positions. To present a net exposure of credit risk, the over-
\n
collateralization, which is shown in the surplus collateral column, is extracted from the total collateral.
\n
Aegon Integrated Annual Report
2022 |
181
\n
Notes to the consolidated financial statements
Note 4
Credit risk management
\n
Aegon manages credit risk exposure by individual counterparty, sector and asset class, including cash positions. Normally,
\n
Aegon mitigates credit risk in derivative contracts by entering into credit support agreement, where practical, and in ISDA
\n
master netting agreements for most of Aegon's legal entities to facilitate Aegon's right to offset credit risk exposure. Main
\n
counterparties to these transactions are investment banks which are typically rated 'A' or higher. The credit support agreement
\n
will normally dictate the threshold over which collateral needs to be pledged by Aegon or its counterparty. Transactions
\n
requiring Aegon or its counterparty to post collateral are typically the result of derivative trades, comprised mostly of interest
\n
rate swaps, equity swaps, currency swaps and credit swaps. Collateral received is mainly cash (USD and EUR). The credit
\n
support agreements that outline the acceptable collateral require high-quality instruments to be posted. Over the last three
\n
years, there was no default with any derivatives counterparty. The credit risk associated with financial assets subject to a
\n
master netting agreement is eliminated only to the extent that financial liabilities due to the same counterparty will be settled
\n
after the assets are realized. Eligible derivative transactions are traded via Central Clearing Houses as required by EMIR and
\n
the Dodd-Frank act. Credit risk in these transactions is mitigated through posting of initial and variation margins.
\n
Aegon may also mitigate credit risk in reinsurance contracts by including downgrade clauses that allow the recapture
\n
of business, retaining ownership of assets required to support liabilities ceded or by requiring the reinsurer to hold assets
\n
in trust. For the resulting net credit risk exposure, Aegon employs deterministic and stochastic credit risk modeling in order
\n
to assess the Group's credit risk profile, associated earnings and capital implications due to various credit loss scenarios.
\n
Aegon operates a Credit Name Limit Policy (CNLP) under which limits are placed on the aggregate exposure that it has to any
\n
one counterparty. Limits are placed on the exposure at both group level and individual country units. The limits also vary
\n
by a rating system, which is a composite of the main rating agencies (S&P, Moody's and Fitch) and Aegon's internal rating
\n
of the counterparty. If an exposure exceeds the stated limit, then the exposure must be reduced to the limit for the country unit
\n
and rating category as soon as possible. Exceptions to these limits can only be made after explicit approval from Aegon's Group
\n
Risk and Capital Committee (GRCC). The policy is reviewed regularly.
\n
At December 31, 2022, there was no violation of the Credit Name Limit Policy at Group level (2021: one).
\n
At December 31, 2022, Aegon's largest corporate credit exposures are to American United Mutual Insurance, Reinsurance
\n
Group of America, Bank of America and Berkshire Hathaway. Aegon had large government exposures, the largest being
\n
to the United States, the Netherlands and Germany. Highly rated government bonds and government exposure domestically
\n
issued and owned in local currency are excluded from the Credit Name Limit Policy.
\n
Aegon group level long-term counterparty exposure limits are as follows:
\n
Group limits per credit rating
\n
Amounts in EUR million
2022
2021
\n
AAA
900
900
\n
AA
900
900
\n
A
675
675
\n
BBB
450
450
\n
BB
250
250
\n
B
125
125
\n
CCC or lower
50
50
\n
|
Aegon Integrated Annual Report
2022
182
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Credit rating
\n
The ratings distribution of general account portfolios of Aegon's major reporting units, excluding reinsurance assets, are
\n
presented in the table that follows, organized by rating category and split by assets that are valued at fair value and assets that
\n
are valued at amortized cost. Aegon uses a composite rating based on a combination of the external ratings of S&P, Moody's,
\n
Fitch and National Association of Insurance Commissioners (NAIC which is for US only) and internal ratings. The rating used
\n
is the lower of the external rating and the internal rating.
\n
Credit rating general account investments,
\n
excluding reinsurance assets 2022
\n
Americas
United Kingdom
International
\n
Amortized cost
Fair value
Amortized cost
Fair value
Amortized cost
Fair value
\n
AAA
1,488
12,124
-
55
-
91
\n
AA
4,454
3,659
-
461
-
157
\n
A
3,779
19,374
-
262
39
891
\n
BBB
671
18,785
-
123
(5)
745
\n
BB
48
1,434
-
1
-
71
\n
B
-
592
-
-
-
13
\n
CCC or lower
-
445
-
-
-
4
\n
Assets not rated
2,035
4,525
-
582
9
9
\n
Total
12,475
60,938
-
1,483
43
1,980
\n
Past due and / or impaired assets
-
2,239
-
-
-
22
\n
At December 31
12,475
63,178
-
1,483
43
2,001
\n
Credit rating general account investments, excluding
\n
reinsurance assets 2022
\n
Asset Management
Total 2022
\n
1)
2)
\n
Amortized cost
Fair value
Amortized cost
Fair value
Total carrying value
\n
AAA
-
135
1,488
12,404
13,892
\n
AA
-
-
4,454
4,277
8,731
\n
A
-
-
3,818
20,527
24,345
\n
BBB
-
-
666
19,653
20,319
\n
BB
-
-
48
1,505
1,553
\n
B
-
-
-
605
605
\n
CCC or lower
-
-
-
449
449
\n
Assets not rated
-
1
2,081
5,235
7,317
\n
Total
-
136
12,556
64,656
77,211
\n
Past due and / or impaired assets
-
-
-
2,261
2,262
\n
At December 31
-
136
12,556
66,917
79,473
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Credit rating general account
\n
investments, excluding
\n
reinsurance assets 2021
\n
Americas
The Netherlands
United Kingdom
International
\n
Amortized cost
Fair value
Amortized cost
Fair value
Amortized cost
Fair value
Amortized cost
Fair value
\n
AAA
1,383
15,537
2,607
11,832
-
74
-
738
\n
AA
4,219
4,438
216
6,474
-
586
-
699
\n
A
3,301
20,888
128
10,636
-
384
52
2,610
\n
BBB
519
21,894
1,050
4,458
-
202
(4)
3,311
\n
BB
59
1,614
44
127
-
1
-
272
\n
B
-
549
-
19
-
-
18
370
\n
CCC or lower
-
441
-
19
-
-
-
13
\n
Assets not rated
1,868
4,257
31,770
1,418
-
644
27
79
\n
Total
11,349
69,618
35,814
34,983
-
1,893
93
8,093
\n
Past due and / or impaired assets
2
2,044
176
17
-
-
-
116
\n
At December 31
11,352
71,662
35,990
35,000
-
1,893
93
8,208
\n
Aegon Integrated Annual Report
2022 |
183
\n
Notes to the consolidated financial statements
Note 4
Credit rating general account investments, excluding
\n
reinsurance assets 2021
\n
Asset Management
Total 2021
\n
1)
\n
Amortized cost
Fair value
Amortized cost
Fair value
Total carrying value
\n
AAA
-
295
3,989
28,476
32,465
\n
AA
-
-
4,436
12,197
16,633
\n
A
-
-
3,481
34,530
38,011
\n
BBB
-
-
1,564
29,866
31,431
\n
BB
-
-
103
2,015
2,118
\n
B
-
-
18
938
956
\n
CCC or lower
-
-
-
473
473
\n
Assets not rated
-
2
33,685
6,474
40,160
\n
Total
-
296
47,277
114,968
162,245
\n
Past due and / or impaired assets
-
-
178
2,176
2,355
\n
At December 31
-
296
47,455
117,145
164,600
\n
1
\n
Includes investments of Holding and other activities.
\n
The following table shows the credit quality of the gross positions in the statement of financial position for general account
\n
reinsurance assets specifically:
\n
Carrying value 2022
\n
1)
\n
Carrying value 2021
\n
AAA
-
-
\n
AA
2,156
9,084
\n
A
18,105
11,087
\n
Below A
6
7
\n
Not rated
917
813
\n
At December 31
21,184
20,992
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Credit risk concentration
\n
The tables that follow present specific credit risk concentration information for general account financial assets.
\n
Credit risk concentrations \u2013 debt securities and
\n
money market investments 2022
Americas
United Kingdom
International
\n
Asset
\n
Management
Total 2022
\n
1)
\n
Of which past
\n
due and / or
\n
impaired assets
\n
Residential mortgage-backed securities (RMBSs)
1,136
-
-
5
1,141
479
\n
Commercial mortgage-backed securities
\n
(CMBSs)
2,707
94
37
-
2,838
42
\n
Asset-backed securities (ABSs) - CDOs backed
\n
by ABS, Corp. bonds, Bank loans
438
-
3
-
440
2
\n
ABSs \u2013 Other
2,400
53
15
9
2,478
26
\n
Financial - Banking
3,957
168
318
-
4,443
39
\n
Financial - Other
10,778
36
352
96
11,263
191
\n
Capital goods and other industry
3,769
22
132
-
3,923
268
\n
Communications & Technology
4,658
2
167
-
4,828
417
\n
Consumer cyclical
3,742
28
106
-
3,877
223
\n
Consumer non-cyclical
5,445
85
144
-
5,674
350
\n
Energy
3,205
19
102
-
3,326
41
\n
Transportation
1,728
-
43
-
1,771
19
\n
Utility
4,319
69
80
-
4,469
110
\n
Government bonds
7,962
323
488
17
8,790
43
\n
At December 31
56,243
901
1,989
128
59,260
2,251
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
|
Aegon Integrated Annual Report
2022
184
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Credit risk concentrations \u2013 Government bonds per country
\n
of risk 2022
Americas
United Kingdom
International
\n
Asset
\n
Management
Total 2022
\n
1)
2)
\n
United States
7,209
-
80
-
7,290
\n
Netherlands
-
-
-
-
-
\n
United Kingdom
-
275
-
17
292
\n
Austria
-
-
3
-
3
\n
Belgium
-
-
3
-
3
\n
Finland
-
-
-
-
-
\n
France
-
27
2
-
29
\n
Germany
-
-
-
-
-
\n
Hungary
18
-
4
-
22
\n
Indonesia
82
-
-
-
82
\n
Luxembourg
-
-
1
-
1
\n
Spain
-
-
152
-
152
\n
Rest of Europe
48
-
229
-
277
\n
Rest of world
604
21
13
-
638
\n
Supranational
-
-
-
-
-
\n
At December 31
7,962
323
488
17
8,790
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Credit risk concentrations \u2013 Credit rating 2022
\n
3)
\n
Government
\n
bonds
Corporate bonds
\n
RMBSs CMBSs
\n
ABSs
Other
Total 2022
\n
1)
2)
\n
AAA
5,980
724
2,997
2,780
12,482
\n
AA
1,243
2,484
815
-
4,541
\n
A
753
16,180
1,960
-
18,894
\n
BBB
538
19,307
306
-
20,151
\n
BB
206
1,204
102
-
1,513
\n
B
65
519
23
-
607
\n
CCC or lower
4
207
694
-
905
\n
Assets not rated
-
15
-
152
167
\n
At December 31
8,790
40,640
6,897
2,933
59,260
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
3
\n
CNLP Ratings are used and are the lower of the Barclay\u2019s Rating and the Internal Rating with the Barclay\u2019s rating being a blended rating of S&P, Fitch, and Moody\u2019s.
\n
There are no individual issuers rated below investment grade in the RMBS sector, CMBS sector and ABS sector which have
\n
unrealized loss position greater than EUR 25 million.
\n
Aegon Integrated Annual Report
2022 |
185
\n
Notes to the consolidated financial statements
Note 4
Credit risk concentrations \u2013 debt securities
\n
and money market investments 2021
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
International
\n
Asset
\n
Management
\n
Total 2021
\n
1)
\n
Of which past
\n
due and / or
\n
impaired
\n
assets
\n
Residential mortgage-backed securities
\n
(RMBSs)
1,854
106
-
20
4
1,984
611
\n
Commercial mortgage-backed securities
\n
(CMBSs)
3,005
3
122
517
-
3,647
13
\n
Asset-backed securities (ABSs) - CDOs
\n
backed by ABS, Corp. bonds, Bank loans
265
1,576
-
37
-
1,878
2
\n
ABSs \u2013 Other
1,972
1
74
267
8
2,321
27
\n
Financial - Banking
5,597
3,146
177
1,035
-
9,956
9
\n
Financial - Other
9,916
854
68
783
257
11,877
175
\n
Capital goods and other industry
4,048
1,078
33
501
-
5,661
144
\n
Communications & Technology
6,190
1,561
3
732
-
8,485
411
\n
Consumer cyclical
3,159
741
43
342
-
4,286
152
\n
Consumer non-cyclical
6,138
1,900
121
825
-
8,984
177
\n
Energy
4,177
143
26
635
-
4,980
91
\n
Transportation
2,151
815
-
197
-
3,163
130
\n
Utility
5,356
707
105
590
-
6,757
153
\n
Government bonds
11,663
14,321
477
1,649
18
28,127
4
\n
At December 31
65,490
26,951
1,248
8,130
286
102,105
2,101
\n
1
\n
Includes investments of Holding and other activities.
\n
Credit risk concentrations \u2013 Government
\n
bonds per country of risk 2021
Americas
The Netherlands
United Kingdom
International
\n
Asset
\n
Management
Total 2021
\n
1)
\n
United States
10,897
-
-
463
-
11,360
\n
Netherlands
-
4,691
-
-
-
4,691
\n
United Kingdom
-
3
413
-
18
433
\n
Austria
-
1,175
-
6
-
1,181
\n
Belgium
-
1,132
-
5
-
1,137
\n
Finland
-
41
-
-
-
41
\n
France
-
1,618
34
2
-
1,654
\n
Germany
-
4,309
-
-
-
4,309
\n
Hungary
-
-
-
302
-
302
\n
Indonesia
75
39
-
28
-
141
\n
Luxembourg
-
873
-
1
-
875
\n
Spain
-
144
-
197
-
341
\n
Rest of Europe
85
65
-
503
-
654
\n
Rest of world
587
230
31
131
-
979
\n
Supranational
19
-
-
11
-
29
\n
At December 31
11,663
14,321
477
1,649
18
28,127
\n
1
\n
Includes investments of Holding and other activities.
\n
Credit risk concentrations \u2013 Credit rating 2021
\n
2)
\n
Government bonds
Corporate bonds
RMBSs CMBSs ABSs
Other
Total 2021
\n
1)
\n
AAA
19,740
754
5,779
1,882
28,155
\n
AA
5,476
4,099
1,125
-
10,700
\n
A
1,228
25,470
1,648
-
28,345
\n
BBB
1,094
28,855
338
-
30,286
\n
BB
238
1,700
63
-
2,001
\n
B
348
553
26
-
927
\n
CCC or lower
5
183
826
-
1,014
\n
Assets not rated
-
3
24
649
676
\n
At December 31
28,127
61,617
9,830
2,531
102,105
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
CNLP Ratings are used and are the lower of the Barclay\u2019s Rating and the Internal Rating with the Barclay\u2019s rating being a blended rating of S&P, Fitch, and Moody\u2019s.
\n
|
Aegon Integrated Annual Report
2022
186
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
There are no individual issuers rated below investment grade in the RMBS sector, CMBS sector and ABS sector which have
\n
unrealized loss position greater than EUR 25 million.
\n
Credit risk concentrations \u2013
\n
mortgage loans 2022
Americas
United Kingdom
International
\n
Asset
\n
Management
Total 2022
\n
1)
\n
Of which past
\n
due and / or
\n
impaired assets
\n
Agricultural
49
-
-
-
49
-
\n
Apartment
5,519
-
-
-
5,519
-
\n
Industrial
402
-
-
-
402
-
\n
Office
1,521
-
-
-
1,521
-
\n
Retail
1,475
-
-
-
1,475
-
\n
Other commercial
1,469
-
-
-
1,469
-
\n
Residential
5
-
1
-
5
-
\n
At December 31
10,441
-
1
-
10,441
-
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Credit risk concentrations \u2013
\n
mortgage loans 2021
Americas
The Netherlands
United Kingdom
International
\n
Asset
\n
Management
Total 2021
\n
Of which past
\n
due and / or
\n
impaired assets
\n
Agricultural
59
-
-
-
-
59
-
\n
Apartment
5,085
-
-
-
-
5,085
2
\n
Industrial
1,349
-
-
-
-
1,349
-
\n
Office
1,560
-
-
-
-
1,560
-
\n
Retail
1,425
6
-
-
-
1,432
-
\n
Other commercial
-
23
-
-
-
23
1
\n
Residential
6
31,108
-
1
-
31,115
139
\n
At December 31
9,485
31,138
-
1
-
40,624
142
\n
The fair value of Aegon Americas commercial and agricultural mortgage loan portfolio as per December 31, 2022, amounted
\n
to EUR 9,224 million (2021: EUR 10,161 million). The loan to value (LTV) amounted to approximately 50.4% (2021: 53%).
\n
Of the portfolio 0% (2021: 0%) is in delinquency (defined as 60 days in arrears). In 2022, Aegon Americas recognized
\n
EUR 0 million of net impairments (2021: EUR 1 million net impairments) on this portfolio. In 2022, there were no foreclosures
\n
(2021: EUR 0 million) and no impairments or recoveries associated with foreclosed loans (2021: EUR 0 million).
\n
Unconsolidated structured entities
\n
Aegon's investments in unconsolidated structured entities such as RMBSs, CMBSs and ABSs and investment funds are
\n
presented in the line item 'Investments' of the statement of financial position. Aegon's interests in these unconsolidated
\n
structured entities can be characterized as basic interests, Aegon does not have loans, derivatives, guarantees or other
\n
interests related to these investments. Any existing commitments such as future purchases of interests in investment funds are
\n
disclosed in note 45 Commitments and contingencies.
\n
For debt instruments, specifically for RMBSs, CMBSs and ABSs, the maximum exposure to loss is equal to the carrying
\n
amount which is reflected in the credit risk concentration table regarding debt securities and money market investments.
\n
To manage credit risk Aegon invests primarily in senior notes of RMBSs, CMBSs and ABSs. The composition of the RMBSs,
\n
CMBSs and ABSs portfolios of Aegon are widely dispersed looking at the individual amount per entity, therefore Aegon
\n
only has non-controlling interests in individual unconsolidated structured entities. Furthermore these investments are not
\n
originated by Aegon.
\n
Except for commitments as noted in note 45 Commitments and contingencies, Aegon did not provide, nor is required to provide
\n
financial or other support to unconsolidated structured entities. Nor does Aegon have intentions to provide financial or other
\n
support to unconsolidated structured entities in which Aegon has an interest or previously had an interest.
\n
For RMBSs, CMBSs and ABSs in which Aegon has an interest at reporting date, the following table presents total income
\n
received from those interests. The Investments column reflects the carrying values recognized in the statement of financial
\n
position of Aegon's interests in RMBSs, CMBSs and ABSs.
\n
Aegon Integrated Annual Report
2022 |
187
\n
Notes to the consolidated financial statements
Note 4
2022
\n
1)
\n
Total result 2022
\n
December 31,
\n
2022
\n
Interest income
\n
Total gains and
\n
losses on sale of
\n
assets
Total
Investments
\n
Residential mortgage-backed securities
92
(84)
9
1,141
\n
Commercial mortgage-backed securities
120
(715)
(595)
2,838
\n
Asset-backed securities
24
(34)
(10)
440
\n
ABSs - Other
92
(416)
(324)
2,478
\n
Total
328
(1,249)
(921)
6,897
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Total result 2021
\n
December 31,
\n
2021
\n
Interest income
\n
Total gains and
\n
losses on sale of
\n
assets
Total
Investments
\n
Residential mortgage-backed securities
83
(28)
55
1,980
\n
Commercial mortgage-backed securities
113
(31)
82
3,647
\n
Asset-backed securities
29
-
29
1,878
\n
ABSs - Other
70
(11)
59
2,323
\n
Total
295
(69)
226
9,829
\n
Additional information on credit risk, unrealized losses and impairments
\n
Debt instruments
\n
The amortized cost and fair value of debt securities, money market investments and other, included in Aegon's available-for-sale
\n
(AFS) portfolios, are as follows as of December 31, 2022, and December 31, 2021.
\n
2022
\n
1)
\n
Amortized
\n
cost
\n
Unrealized
\n
gains
\n
Unrealized
\n
losses
\n
Total fair
\n
value
\n
Fair value of
\n
instruments
\n
with unrealized
\n
gains
\n
Fair value of
\n
instruments
\n
with unrealized
\n
losses
\n
Debt securities, money market instruments and
\n
other
\n
United States government
8,386
135
(1,294)
7,226
1,435
5,791
\n
Dutch government
-
-
-
-
-
-
\n
Other government
1,700
23
(239)
1,484
266
1,218
\n
Mortgage-backed securities
4,218
160
(439)
3,939
578
3,362
\n
Asset-backed securities
3,269
12
(376)
2,905
183
2,722
\n
Corporate
42,507
449
(5,419)
37,538
7,428
30,110
\n
Money market investments
5,511
4
(1)
5,514
3,815
1,699
\n
Other
863
105
(128)
840
600
241
\n
Total
66,455
888
(7,896)
59,447
14,305
45,143
\n
Of which held by Aegon Americas
63,213
837
(7,672)
56,379
13,073
43,306
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
|
Aegon Integrated Annual Report
2022
188
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
2021
\n
Amortized
\n
cost
\n
Unrealized
\n
gains
\n
Unrealized
\n
losses
\n
Total fair
\n
value
\n
Fair value of
\n
instruments
\n
with unrealized
\n
gains
\n
Fair value of
\n
instruments
\n
with unrealized
\n
losses
\n
Debt securities, money market instruments and
\n
other
\n
United States government
8,942
2,386
(11)
11,317
10,938
379
\n
Dutch government
3,456
1,238
(0)
4,694
4,688
6
\n
Other government
9,060
2,794
(84)
11,769
10,414
1,356
\n
Mortgage-backed securities
5,265
372
(56)
5,581
3,832
1,749
\n
Asset-backed securities
4,088
118
(16)
4,189
2,334
1,855
\n
Corporate
50,953
5,738
(343)
56,348
45,363
10,985
\n
Money market investments
4,790
-
(0)
4,790
4,547
243
\n
Other
876
34
(66)
844
519
325
\n
Total
87,431
12,679
(576)
99,533
82,635
16,898
\n
Of which held by Aegon Americas and NL
78,468
11,865
(475)
89,859
74,954
14,905
\n
Unrealized bond losses by sector
\n
The composition by industry category of Aegon\u2019s available-for-sale (AFS) debt securities, money market investments and other
\n
in an unrealized loss position at December 31, 2022, and December 31, 2021, is presented in the following table:
\n
December 31, 2022
\n
1)
\n
December 31, 2021
\n
Unrealized losses - debt securities, money market
\n
investments and other
\n
Carrying value of
\n
instruments with
\n
unrealized losses
Unrealized losses
\n
Carrying value of
\n
instruments with
\n
unrealized losses
Unrealized losses
\n
Residential mortgage-backed securities (RMBSs)
633
(70)
810
(21)
\n
Commercial mortgage-backed securities (CMBSs)
2,690
(360)
803
(27)
\n
Asset-backed securities (ABSs) - CDOs backed by ABS,
\n
Corp. bonds, Bank loans
434
(39)
1,244
(9)
\n
ABSs - Other
2,253
(334)
558
(7)
\n
Financial Industry - Banking
2,906
(412)
1,669
(32)
\n
Financial Industry - Insurance
1,146
(199)
368
(11)
\n
Financial Industry - Other
5,821
(878)
1,092
(29)
\n
Industrial
17,249
(3,068)
5,630
(179)
\n
Utility
3,564
(765)
1,564
(68)
\n
Government
6,368
(1,418)
842
(28)
\n
Other
240
(128)
325
(66)
\n
Total held by Aegon Americas and NL
\n
1)
\n
43,306
(7,672)
14,905
(475)
\n
Held by other segments
1,837
(224)
1,994
(102)
\n
Total
45,143
(7,896)
16,898
(576)
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Impairment of financial assets
\n
Aegon regularly monitors industry sectors and individual debt securities for indicators of impairment. These indicators may
\n
include one or more of the following: 1) deteriorating market to book ratio, 2) increasing industry risk factors, 3) deteriorating
\n
financial condition of the issuer, 4) covenant violations by the issuer, 5) high probability of bankruptcy of the issuer, or 6)
\n
downgrades by internationally recognized credit rating agency. Additionally, for asset-backed securities, cash flow trends and
\n
underlying levels of collateral are monitored. A security is impaired if there is objective evidence that a loss event has occurred
\n
after the initial recognition of the asset that has a negative impact on the estimated future cash flows.
\n
For details on impairments on financial assets, including receivables, refer to note 15 Impairment charges / (reversals).
\n
Past due and impaired assets
\n
The tables that follow provide information on past due and individually impaired financial assets for the whole Aegon Group.
\n
An asset is past due when a counterparty has failed to make a payment when contractually due. Assets are impaired when
\n
an impairment loss has been charged to the income statement relating to this asset. After the impairment loss is reversed
\n
in subsequent periods, the asset is no longer considered to be impaired. When the terms and conditions of financial assets
\n
have been renegotiated, the terms and conditions of the new agreement apply in determining whether the financial assets
\n
are past due.
\n
Aegon Integrated Annual Report
2022 |
189
\n
Notes to the consolidated financial statements
Note 4
Aegon's policy is to pursue realization of the collateral in an orderly manner as and when liquidity permits. Aegon generally does
\n
not use the non-cash collateral for its own operations.
\n
2022
\n
1)
\n
2021
\n
Past due but not impaired assets
0-6 months
\n
6-12
\n
months
> 1 year
Total
\n
0-6
\n
months
\n
6-12
\n
months
> 1 year
Total
\n
Debt securities - carried at fair value
1,155
572
25
1,751
1,171
255
40
1,466
\n
Mortgage loans
-
-
-
-
129
1
1
131
\n
Other loans
-
-
-
-
19
5
10
35
\n
Accrued interest
28
22
-
50
30
10
3
42
\n
Other financial assets - carried at fair
\n
value
-
-
-
-
-
-
-
-
\n
At December 31
1,183
593
25
1,802
1,350
271
54
1,675
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Impaired financial assets
Carrying amount 2022
\n
1)
\n
Carrying amount 2021
\n
Shares
10
62
\n
Debt securities - carried at fair value
500
635
\n
Mortgage loans
-
10
\n
Other loans
-
2
\n
Other financial assets - carried at fair value
1
14
\n
At December 31
510
723
\n
1
\n2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCreditRiskExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f24840": {
"value": "Unconsolidated structured entities
Aegon's investments in unconsolidated structured entities such as RMBSs, CMBSs and ABSs and investment funds are
\n
presented in the line item 'Investments' of the statement of financial position. Aegon's interests in these unconsolidated
\n
structured entities can be characterized as basic interests, Aegon does not have loans, derivatives, guarantees or other
\n
interests related to these investments. Any existing commitments such as future purchases of interests in investment funds are
\n
disclosed in note 45 Commitments and contingencies.
\n
For debt instruments, specifically for RMBSs, CMBSs and ABSs, the maximum exposure to loss is equal to the carrying
\n
amount which is reflected in the credit risk concentration table regarding debt securities and money market investments.
\n
To manage credit risk Aegon invests primarily in senior notes of RMBSs, CMBSs and ABSs. The composition of the RMBSs,
\n
CMBSs and ABSs portfolios of Aegon are widely dispersed looking at the individual amount per entity, therefore Aegon
\n
only has non-controlling interests in individual unconsolidated structured entities. Furthermore these investments are not
\n
originated by Aegon.
\n
Except for commitments as noted in note 45 Commitments and contingencies, Aegon did not provide, nor is required to provide
\n
financial or other support to unconsolidated structured entities. Nor does Aegon have intentions to provide financial or other
\n
support to unconsolidated structured entities in which Aegon has an interest or previously had an interest.
\n
For RMBSs, CMBSs and ABSs in which Aegon has an interest at reporting date, the following table presents total income
\n
received from those interests. The Investments column reflects the carrying values recognized in the statement of financial
\n
position of Aegon's interests in RMBSs, CMBSs and ABSs.
\n
Aegon Integrated Annual Report
2022 |
187
\n
Notes to the consolidated financial statements
Note 4
2022
\n
1)
\n
Total result 2022
\n
December 31,
\n
2022
\n
Interest income
\n
Total gains and
\n
losses on sale of
\n
assets
Total
Investments
\n
Residential mortgage-backed securities
92
(84)
9
1,141
\n
Commercial mortgage-backed securities
120
(715)
(595)
2,838
\n
Asset-backed securities
24
(34)
(10)
440
\n
ABSs - Other
92
(416)
(324)
2,478
\n
Total
328
(1,249)
(921)
6,897
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Total result 2021
\n
December 31,
\n
2021
\n
Interest income
\n
Total gains and
\n
losses on sale of
\n
assets
Total
Investments
\n
Residential mortgage-backed securities
83
(28)
55
1,980
\n
Commercial mortgage-backed securities
113
(31)
82
3,647
\n
Asset-backed securities
29
-
29
1,878
\n
ABSs - Other
70
(11)
59
2,323
\n
Total
295
(69)
226
9,829",
"dimensions": {
"concept": "ifrs-full:DisclosureOfUnconsolidatedStructuredEntitiesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f24955": {
"value": "Debt instruments
The amortized cost and fair value of debt securities, money market investments and other, included in Aegon's available-for-sale
\n
(AFS) portfolios, are as follows as of December 31, 2022, and December 31, 2021.
\n
2022
\n
1)
\n
Amortized
\n
cost
\n
Unrealized
\n
gains
\n
Unrealized
\n
losses
\n
Total fair
\n
value
\n
Fair value of
\n
instruments
\n
with unrealized
\n
gains
\n
Fair value of
\n
instruments
\n
with unrealized
\n
losses
\n
Debt securities, money market instruments and
\n
other
\n
United States government
8,386
135
(1,294)
7,226
1,435
5,791
\n
Dutch government
-
-
-
-
-
-
\n
Other government
1,700
23
(239)
1,484
266
1,218
\n
Mortgage-backed securities
4,218
160
(439)
3,939
578
3,362
\n
Asset-backed securities
3,269
12
(376)
2,905
183
2,722
\n
Corporate
42,507
449
(5,419)
37,538
7,428
30,110
\n
Money market investments
5,511
4
(1)
5,514
3,815
1,699
\n
Other
863
105
(128)
840
600
241
\n
Total
66,455
888
(7,896)
59,447
14,305
45,143
\n
Of which held by Aegon Americas
63,213
837
(7,672)
56,379
13,073
43,306
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
|
Aegon Integrated Annual Report
2022
188
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
2021
\n
Amortized
\n
cost
\n
Unrealized
\n
gains
\n
Unrealized
\n
losses
\n
Total fair
\n
value
\n
Fair value of
\n
instruments
\n
with unrealized
\n
gains
\n
Fair value of
\n
instruments
\n
with unrealized
\n
losses
\n
Debt securities, money market instruments and
\n
other
\n
United States government
8,942
2,386
(11)
11,317
10,938
379
\n
Dutch government
3,456
1,238
(0)
4,694
4,688
6
\n
Other government
9,060
2,794
(84)
11,769
10,414
1,356
\n
Mortgage-backed securities
5,265
372
(56)
5,581
3,832
1,749
\n
Asset-backed securities
4,088
118
(16)
4,189
2,334
1,855
\n
Corporate
50,953
5,738
(343)
56,348
45,363
10,985
\n
Money market investments
4,790
-
(0)
4,790
4,547
243
\n
Other
876
34
(66)
844
519
325
\n
Total
87,431
12,679
(576)
99,533
82,635
16,898
\n
Of which held by Aegon Americas and NL
78,468
11,865
(475)
89,859
74,954
14,905
\n
Unrealized bond losses by sector
\n
The composition by industry category of Aegon\u2019s available-for-sale (AFS) debt securities, money market investments and other
\n
in an unrealized loss position at December 31, 2022, and December 31, 2021, is presented in the following table:
\n
December 31, 2022
\n
1)
\n
December 31, 2021
\n
Unrealized losses - debt securities, money market
\n
investments and other
\n
Carrying value of
\n
instruments with
\n
unrealized losses
Unrealized losses
\n
Carrying value of
\n
instruments with
\n
unrealized losses
Unrealized losses
\n
Residential mortgage-backed securities (RMBSs)
633
(70)
810
(21)
\n
Commercial mortgage-backed securities (CMBSs)
2,690
(360)
803
(27)
\n
Asset-backed securities (ABSs) - CDOs backed by ABS,
\n
Corp. bonds, Bank loans
434
(39)
1,244
(9)
\n
ABSs - Other
2,253
(334)
558
(7)
\n
Financial Industry - Banking
2,906
(412)
1,669
(32)
\n
Financial Industry - Insurance
1,146
(199)
368
(11)
\n
Financial Industry - Other
5,821
(878)
1,092
(29)
\n
Industrial
17,249
(3,068)
5,630
(179)
\n
Utility
3,564
(765)
1,564
(68)
\n
Government
6,368
(1,418)
842
(28)
\n
Other
240
(128)
325
(66)
\n
Total held by Aegon Americas and NL
\n
1)
\n
43,306
(7,672)
14,905
(475)
\n
Held by other segments
1,837
(224)
1,994
(102)
\n
Total
45,143
(7,896)
16,898
(576)
\n
1
\n2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfDebtSecuritiesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f25387": {
"value": "Equity market risk and other investments risk
Fluctuations in the equity, real estate and capital markets have affected Aegon's profitability, capital position and sales of equity
\n
related products in the past and may continue to do so. Exposure to equity, real estate and capital markets exists in both
\n
assets and liabilities. Asset exposure exists through direct equity investment, where Aegon bears all or most of the volatility
\n
in returns and investment performance risk. Equity market exposure is also present in insurance and investment contracts for
\n
policyholders where funds are invested in equities, backing variable annuities, unit-linked products and mutual funds. Although
\n
most of the risk remains with the policyholder, lower investment returns can reduce the asset management fee earned
\n
by Aegon on the asset balance in these products. In addition, some of this business has minimum return or accumulation
\n
guarantees.
\n
In 2021, Transamerica expanded its dynamic hedge program to variable annuities with guaranteed minimum death benefit
\n
riders (GMDB) and remaining policies with guaranteed minimum income (GMIB) riders. This builds on the effective dynamic
\n
hedge program of policies with guaranteed minimum withdrawal benefits (GMWB). The dynamic hedge program covers
\n
the equity risks (and interest rate risk) embedded in the guarantees of its entire variable annuity portfolio. Dynamic hedging
\n
stabilizes cash flows and reduces sensitivities to changes in equity markets (and interest rates) on an economic basis.
\n
The general account equity, real estate and other non-fixed-income portfolio of Aegon is as follows:
\n
Equity, real estate and non-fixed income exposure
Americas
United Kingdom
International
\n
Asset
\n
Management
\n
Holding and
\n
other activities
Total 2022
\n
1)
\n
Equity funds
141
-
3
7
-
151
\n
Common shares
\n
2)
\n
148
25
5
-
1
179
\n
Preferred shares
56
-
-
-
-
56
\n
Investments in real estate
42
-
17
-
-
59
\n
Hedge funds
10
-
-
-
-
10
\n
Other alternative investments
2,168
-
-
-
-
2,168
\n
Other financial assets
1,848
531
5
1
-
2,385
\n
At December 31
4,414
556
30
9
1
5,009
\n
1
\n
2022 excludes the exposures of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2
\n
Common shares in Holding and other activities includes the elimination of treasury shares in the general account for an amount of EUR nil million.
\n
|
Aegon Integrated Annual Report
2022
190
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Equity, real estate and non-fixed income
\n
exposure
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
International
\n
Asset
\n
Management
\n
Holding and
\n
other
\n
activities
Total 2021
\n
Equity funds
175
34
-
63
9
-
280
\n
Common shares
\n
1)
\n
190
-
29
5
-
1
226
\n
Preferred shares
128
-
-
-
-
-
128
\n
Investments in real estate
39
2,588
-
16
-
-
2,643
\n
Hedge funds
35
-
-
-
-
-
35
\n
Other alternative investments
1,934
432
-
-
-
-
2,366
\n
Other financial assets
1,595
1,023
598
7
2
-
3,225
\n
At December 31
4,097
4,076
628
91
10
1
8,903
\n
1
\n
Common shares in Holding and other activities includes the elimination of treasury shares in the general account for an amount of EUR nil million.
\n
Market risk concentrations \u2013 shares
Americas
United Kingdom
International
\n
Asset
\n
Management
Total 2022
\n
1)
2)
\n
Of which
\n
impaired assets
\n
Communication
2
-
-
-
2
-
\n
Consumer
13
-
-
-
13
-
\n
Financials
184
-
5
-
189
7
\n
Funds
19
25
-
-
45
1
\n
Industries
4
-
-
-
4
-
\n
Other
123
-
4
7
135
-
\n
At December 31
345
25
10
7
388
10
\n
1
\n
Includes investments of Holding and other activities.
\n
2
\n
2022 excludes the market risk concentrations of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Market risk concentrations \u2013 shares
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
International
\n
Asset
\n
Management
\n
Total 2021
\n
1)
\n
Of which
\n
impaired
\n
assets
\n
Communication
1
-
-
-
-
1
-
\n
Consumer
5
-
-
-
-
5
1
\n
Financials
411
4
-
5
-
420
39
\n
Funds
-
1,406
29
62
-
1,498
17
\n
Industries
42
-
-
-
-
42
5
\n
Other
35
-
-
5
9
49
-
\n
At December 31
493
1,410
29
72
9
2,015
62
\n
1
\n
Includes investments of Holding and other activities.
\n
The table that follows sets forth the closing levels of certain major indices at the end of the last five years.
\n
2022
2021
2020
2019
2018
\n
S&P 500
3,840
4,766
3,756
3,231
2,507
\n
Nasdaq
10,466
15,645
12,888
8,973
6,635
\n
FTSE 100
7,452
7,385
6,461
7,542
6,728
\n
AEX
689
798
625
605
488
\n
The sensitivity analysis of net result and shareholders' equity to changes in equity prices is presented in the table
\n
below. The sensitivity of shareholders' equity and net result to changes in equity markets reflects changes in the market
\n
value of Aegon's portfolio, changes in DPAC amortization, contributions to pension plans for Aegon's employees and
\n
the strengthening of the guaranteed minimum benefits, when applicable. Aegon generally has positive income benefits from
\n
equity market increases and negative impacts from equity market declines as it earns fees on policyholder account balances
\n
and provides minimum guarantees for account values. Aegon uses options and other equity derivatives to provide protection
\n
against the negative impact of equity market declines.
\n
Aegon Integrated Annual Report
2022 |
191
\n
Notes to the consolidated financial statements
Note 4
Sensitivity analysis of net result and shareholders\u2019 equity to equity markets
\n
Immediate change of
\n
Estimated approximate effects
\n
on net result
\n
Estimated approximate effects
\n
on shareholders' equity
\n
2022
\n
1)
\n
Equity increase 10%
168
202
\n
Equity decrease 10%
(237)
(288)
\n
Equity increase 25%
358
456
\n
Equity decrease 25%
(551)
(666)
\n
2021
\n
1)
\n
Equity increase 10%
151
341
\n
Equity decrease 10%
(212)
(221)
\n
Equity increase 25%
322
660
\n
Equity decrease 25%
(529)
(685)
\n
1
\nIncludes the approximate effects of the disposal group",
"dimensions": {
"concept": "ifrs-full:DisclosureOfMarketRiskExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f26054": {
"value": "Currency exchange rate risk
As an international group, Aegon is subject to foreign currency translation risk. Foreign currency exposure exists mainly
\n
when policies are denominated in currencies other than the issuer's functional currency. Currency risk in the investment
\n
portfolios backing insurance and investment liabilities is managed using asset liability matching principles. Assets allocated
\n
to equity are kept in local currencies to the extent shareholders' equity is required to satisfy regulatory and self-imposed
\n
capital requirements. Therefore, currency exchange rate fluctuations will affect the level of shareholders' equity as a result
\n
of translation of subsidiaries into euro, the Group's presentation currency. Aegon holds the remainder of its capital base
\n
|
Aegon Integrated Annual Report
2022
194
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
(perpetual capital securities, subordinated and senior debt) in various currencies in amounts that are targeted to correspond
\n
to the book value of the country units. This balancing mitigates currency translation impacts on shareholders' equity and
\n
leverage ratios. Aegon does not hedge the income streams from the main non-euro units and, as a result, earnings may
\n
fluctuate due to currency translation. As Aegon has significant business segments in the Americas and in the United Kingdom,
\n
the principal sources of exposure from currency fluctuations are from the differences between the US dollar and the euro and
\n
between the UK pound and the euro. Aegon may experience significant changes in net result and shareholders' equity because
\n
of these fluctuations.
\n
Aegon operates an Investment & Counterparty Risk Policy which applies currency risk exposure limits both at Group and
\n
regional levels, and under which direct currency speculation or program trading by country units is not allowed unless explicit
\n
approval has been granted by the Group Risk and Capital Committee and the Management Board. Assets should be held
\n
in the functional currency of the business written or hedged back to that currency. Where this is not possible or practical,
\n
remaining currency exposure should be sufficiently documented and limits are placed on the total exposure at both group level
\n
and for individual country units.
\n
Information on Aegon's three year historical net result and shareholders' equity in functional currency are shown
\n
in the table below:
\n
2022
2021
2020
\n
Net result
\n
Americas (in USD)
(1,486)
1,195
(611)
\n
United Kingdom (in GBP)
146
104
60
\n
Equity in functional currency
\n
Americas (in USD)
6,228
18,324
19,127
\n
United Kingdom (in GBP)
1,108
1,260
1,391
\n
The exchange rates for US dollar and UK pound per euro for each of the last five year ends are set forth in the table below:
\n
Closing rates
2022
2021
2020
2019
2018
\n
USD
1.07
1.14
1.22
1.12
1.14
\n
GBP
0.89
0.84
0.90
0.85
0.90
\n
Aegon Group companies' foreign currency exposure from monetary assets and liabilities denominated in foreign currencies
\n
(that is, other than the entity's functional currency), is not material.
\n
The sensitivity analysis in the following table shows an estimate of the translation effect of movements in the exchange rates
\n
of functional currencies of foreign subsidiaries against the euro presentation currency of the Group's financial statements,
\n
on net income and shareholders' equity.
\n
Aegon Integrated Annual Report
2022 |
195
\n
Notes to the consolidated financial statements
Note 4
Sensitivity analysis of net result and shareholders' equity to translation risk
\n
Movement of currency exchange rates
\n
1)
\n
Estimated approximate effects
\n
on net result
\n
Estimated approximate effects
\n
on shareholders' equity
\n
2022
\n
2)
\n
Increase by 15% of USD currencies relative to the euro
(230)
1,342
\n
Increase by 15% of GBP currencies relative to the euro
188
2,125
\n
Increase by 15% of non-euro currencies relative to the euro
(220)
1,590
\n
Decrease by 15% of USD currencies relative to the euro
169
(1,024)
\n
Decrease by 15% of GBP currencies relative to the euro
141
1,497
\n
Decrease by 15% of non-euro currencies relative to the euro
163
(1,175)
\n
2021
\n
2)
\n
Increase by 15% of USD currencies relative to the euro
205
3,249
\n
Increase by 15% of GBP currencies relative to the euro
152
1,900
\n
Increase by 15% of non-euro currencies relative to the euro
244
3,541
\n
Decrease by 15% of USD currencies relative to the euro
(153)
(2,441)
\n
Decrease by 15% of GBP currencies relative to the euro
107
1,315
\n
Decrease by 15% of non-euro currencies relative to the euro
(179)
(2,616)
\n
1
\n
The effect of currency exchange movements is reflected as a one-time shift up or down in the value of the non-euro currencies relative to the euro on December 31.
\n
2
\nIncludes the approximate effects of the disposal group",
"dimensions": {
"concept": "ifrs-full:DisclosureOfEffectOfChangesInForeignExchangeRatesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f26214": {
"value": "Liquidity risk
Liquidity risk is inherent in much of Aegon's business. Each asset purchased and liability incurred has its own liquidity
\n
characteristics. Some liabilities are surrenderable while some assets, such as privately placed loans, mortgage loans, real
\n
estate and limited partnership interests, have low liquidity. If Aegon requires significant amounts of cash on short notice
\n
in excess of normal cash requirements and existing credit facilities, it may have difficulty selling these investments at attractive
\n
prices or in a timely manner. Liquidity risk is also affected by the use of collateralized financial derivatives to mitigate other risks.
\n
Aegon operates a Liquidity Risk Policy under which country units are obliged to maintain sufficient levels of highly liquid
\n
assets to meet cash demands by policyholders and account holders over the next two years. Potential cash demands are
\n
assessed under a stress scenario including spikes in disintermediation risk due to rising interest rates and concerns over
\n
Aegon's financial strength due to multiple downgrades of the Group's credit rating. At the same time, the liquidity of assets
\n
other than cash and government issues is assumed to be severely impaired for an extended period of time. All legal entities and
\n
Aegon Group must maintain enough liquidity in order to meet all cash needs under this extreme scenario.
\n
Aegon held EUR 13,392 million of general account investments in cash, money market products and government bonds that
\n
are readily saleable or redeemable on demand, which excludes the investment of the disposal group (2021: EUR 31,101 million
\n
and includes the disposal group). The Group expects to meet its obligations, even in a stressed liquidity event, from operating
\n
cash flows and the proceeds of maturing assets as well as these highly liquid assets. Further, the Group has access
\n
to back-up credit facilities, as disclosed in note 37 Borrowings, amounting to EUR 3,435 million which were unused at the end
\n
of the reporting period (2021: EUR 3,399 million).
\n
The maturity analysis below shows the remaining contractual maturities of each category of financial liabilities (including
\n
coupon interest). When the counterparty has a choice of when an amount is paid, the liability is included on the basis
\n
of the earliest date on which it can be required to be paid. Financial liabilities that can be required to be paid on demand
\n
without any delay are reported in the category 'On demand.' If there is a notice period, it has been assumed that notice
\n
is given immediately and the repayment has been presented at the earliest date after the end of the notice period. When
\n
the amount payable is not fixed, the amount reported is determined by reference to the conditions existing at the reporting
\n
date. For example, when the amount payable varies with changes in an index, the amount disclosed may be based on the level
\n
of the index at the reporting date.
\n
To manage the liquidity risk arising from financial liabilities, Aegon holds liquid assets comprising cash and cash equivalents
\n
and investment grade investment securities for which there is an active and liquid market. These assets can be readily sold
\n
to meet liquidity requirements. For this reason, Aegon believes that it is not necessary to disclose a maturity analysis in respect
\n
of these assets to enable users to evaluate the nature and extent of liquidity risk.
\n
|
Aegon Integrated Annual Report
2022
196
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Maturity analysis \u2013 gross undiscounted
\n
contractual cash flows (for non-derivatives)
On demand
< 1 yr amount
\n
1 < 5 yrs
\n
amount
\n
5 < 10 yrs
\n
amount
\n
> 10 yrs
\n
amount
Total amount
\n
2022
\n
2)
\n
Trust pass-through securities
-
10
114
17
60
200
\n
Subordinated loans
-
113
370
242
3,068
3,792
\n
Borrowings
-
1,312
3,130
94
500
5,036
\n
Lease liabilities
-
35
99
63
55
251
\n
Other financial liabilities
4,263
795
355
34
47
5,495
\n
Total financial liabilities (excluding
\n
investment/insurance contracts)
4,263
2,265
4,067
450
3,729
14,775
\n
Investment contracts
\n
1)
\n
9,642
1,445
385
186
141
11,798
\n
Investment contracts for account of
\n
policyholders
\n
1)
\n
22,748
31,186
7
4
2
53,948
\n
Total investment contracts
32,389
32,631
392
190
143
65,746
\n
2021
\n
Trust pass-through securities
-
9
113
16
60
197
\n
Subordinated loans
-
108
377
246
2,964
3,695
\n
Borrowings
-
901
7,651
956
1,052
10,559
\n
Lease liabilities
-
37
86
67
70
259
\n
Other financial liabilities
4,993
1,749
325
154
224
7,444
\n
Total financial liabilities (excluding
\n
investment/insurance contracts)
4,993
2,803
8,551
1,439
4,368
22,154
\n
Investment contracts
\n
1)
\n
17,254
2,681
2,114
1,101
655
23,804
\n
Investment contracts for account of
\n
policyholders
\n
1)
\n
34,756
34,571
10
6
4
69,347
\n
Total investment contracts
52,009
37,252
2,124
1,107
659
93,151
\n
1
\n
Excluding investment contracts with discretionary participating features.
\n
2
\n
2022 excludes the liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Aegon's liquidity management is based on expected claims and benefit payments rather than on the contractual maturities.
\n
The projected cash benefit payments in the table below are based on management's best estimates of the expected gross
\n
benefits and expenses, partially offset by the expected gross premiums, fees and charges relating to the existing business
\n
in force. Estimated cash benefit payments are based on mortality, morbidity and lapse assumptions based on Aegon's historical
\n
experience, modified for recently observed trends. Actual payment obligations may differ if experience varies from these
\n
assumptions. The cash benefit payments are presented on an undiscounted basis and are before deduction of tax and before
\n
reinsurance.
\n
Financial liabilities relating to insurance and
\n
investment contracts
\n
1)
\n
On demand
< 1 yr amount
\n
1 < 5 yrs
\n
amount
\n
5 < 10 yrs
\n
amount
\n
> 10 yrs
\n
amount
\n
Total
\n
amount
\n
2022
\n
2)
\n
Insurance contracts
-
3,432
11,364
11,946
116,169
142,911
\n
Insurance contracts for account of policyholders
-
7,456
30,877
29,565
113,346
181,245
\n
Investment contracts
-
1,737
4,814
2,581
4,379
13,511
\n
Investment contracts for account of
\n
policyholders
-
6,107
23,626
26,970
89,126
145,829
\n
-
18,732
70,681
71,062
323,021
483,496
\n
2021
\n
Insurance contracts
-
4,260
16,215
18,438
127,344
166,257
\n
Insurance contracts for account of policyholders
-
11,494
41,638
39,941
131,667
224,740
\n
Investment contracts
-
8,324
7,975
3,847
4,438
24,584
\n
Investment contracts for account of
\n
policyholders
193
14,011
27,637
31,715
84,825
158,381
\n
193
38,089
93,465
93,941
348,274
573,962
\n
1
\n
The liability amount in the consolidated financial statements reflects the discounting for interest as well as adjustments for the timing of other factors as
\n
described above. As a result, the sum of the cash benefit payments shown for all years in the table exceeds the corresponding liability amounts included in notes
\n
34 Insurance contracts and 35 Investments contracts.
\n
2
\n
2022 excludes the liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Aegon Integrated Annual Report
2022 |
197
\n
Notes to the consolidated financial statements
Note 4
The following table details the Group's liquidity analysis for its derivative financial instruments, based on the undiscounted
\n
contractual net cash inflows and outflows on derivative instruments that settle on a net basis, and the undiscounted gross
\n
inflows and outflows on those derivatives that require gross settlement.
\n
Maturity analysis relating to derivatives
\n
1)
\n
(Contractual cash flows)
On demand
< 1 yr amount
\n
1 < 5 yrs
\n
amount
\n
5 < 10 yrs
\n
amount
\n
> 10 yrs
\n
amount
Total amount
\n
2022
\n
2)
\n
Gross settled
\n
Cash inflows
-
15,301
575
675
1,741
18,293
\n
Cash outflows
-
(15,242)
(443)
(633)
(1,600)
(17,919)
\n
Net settled
\n
Cash inflows
-
1,552
4,255
3,812
6,227
15,846
\n
Cash outflows
-
(1,937)
(4,222)
(3,700)
(14,214)
(24,072)
\n
2021
\n
Gross settled
\n
Cash inflows
-
4,300
3,728
5,034
104,335
117,396
\n
Cash outflows
-
(4,895)
(7,080)
(9,499)
(105,376)
(126,850)
\n
Net settled
\n
Cash inflows
-
683
3,442
3,640
5,375
13,140
\n
Cash outflows
-
(780)
(3,032)
(3,102)
(12,591)
(19,505)
\n
1
\n
Derivatives includes all financial derivatives regardless whether they have a positive or a negative value. It does not include bifurcated embedded derivatives.
\n
These are presented together with the host contract. For interest rate derivatives only, cash flows related to the pay leg are taken into account for determining the
\n
gross undiscounted cash flows.
\n
2
\n
2022 excludes the derivatives of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\nFor maturity information on other obligations, please refer to note 45 Commitments and contingencies.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfLiquidityRiskExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f26625": {
"value": "5 Segment information
Aegon\u2019s operating segments are based on the businesses as presented in internal reports that are regularly reviewed by the
\n
Executive Board which is regarded as the chief operating decision maker. All reportable segments are involved in insurance or
\n
reinsurance business, asset management or services related to these activities. The reportable segments are:
\n
\u2022
\n
Americas: one operating segment which covers business units in the United States, including any of the units\u2019 activities
\n
located outside of the United States;
\n
\u2022
\n
The Netherlands: which covers businesses activities from Aegon the Netherlands;
\n
\u2022
\n
United Kingdom: which covers businesses activities from platform business and traditional insurance in the United Kingdom;
\n
\u2022
\n
International: one operating segment which covers businesses operating in Hong Kong, Singapore, China, India, Indonesia,
\n
Brazil, Hungary (sold in 2022), Poland, Turkey (sold in 2022), Romania, Spain and Portugal including any of the units\u2019 activities
\n
located outside these countries;
\n
\u2022
\n
Asset Management: one operating segment which covers business activities from AAM Global Platforms and Strategic
\n
Partnerships;
\n
\u2022
\n
Holding and other activities: one operating segment which includes financing, employee and other administrative expenses
\n
of holding companies.
\n
Aegon\u2019s segment information is prepared by consolidating on a proportionate basis Aegon\u2019s joint ventures and
\n
associated companies.
\n
Aegon has changed the grouping of the operating segments included in the performance measure. As per January 1, 2022,
\n
Mongeral Aegon Group (MAG Seguros) is no longer reported within the Americas segment, but reported in the International
\n
segment. The 2021 comparative figures presented in this note have been adjusted to reflect this change, enabling a like for
\n
like comparison, which includes reclassifications between Americas and International for an operating result of EUR 2 million,
\n
life insurance gross premiums of EUR 191 million and Other revenues of EUR 11 million (2020 comparative figures amount
\n
to EUR 11 million, EUR 159 million and EUR 7 million, respectively). There is no impact on the consolidated numbers of Aegon.
\n
Performance Measure
\n
Aegon uses the non-EU-IFRS performance measure operating result. Operating result reflects Aegon\u2019s profit before tax from
\n
underlying business operations and mainly excludes components that relate to accounting mismatches that are dependent
\n
on market volatility, updates to best estimate actuarial and economic assumptions and model updates or events that are
\n
|
Aegon Integrated Annual Report
2022
198
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
considered outside the normal course of business. There is no standardized meaning to these measures under EU-IFRS or any
\n
other recognized set of accounting standards.
\n
Aegon believes that its performance measure operating result provides meaningful information about the operating results
\n
of Aegon\u2019s business, including insight into the financial measures that Aegon\u2019s senior management uses in managing
\n
the business. Among other things, Aegon\u2019s senior management is compensated based in part on Aegon\u2019s results against
\n
targets using operating result. While many other insurers in Aegon\u2019s peer group present substantially similar performance
\n
measures, the performance measures presented in this document may nevertheless differ from the performance measures
\n
presented by other insurers.
\n
The reconciliation from result before tax from continuing operations, being the most comparable EU-IFRS measure, to operating
\n
result is presented in the tables in this note.
\n
The items that are excluded from operating result as described further below are: fair value items, realized gains or losses
\n
on investments, impairment charges/reversals, other income or charges and share in earnings of joint ventures and associates.
\n
Fair value items
\n
Fair value items include the over- or underperformance of investments and guarantees held at fair value for which
\n
management's best estimate investment return is included in operating result.
\n
In addition, hedge ineffectiveness on hedge transactions, fair value changes on economic hedges without natural offset
\n
in earnings and for which no hedge accounting is applied and fair value movements on real estate are included under fair
\n
value items.
\n
Certain assets held by Aegon are carried at fair value and managed on a total return basis, with no offsetting changes
\n
in the valuation of related liabilities. These include assets such as investments in hedge funds, private equities, real estate
\n
(limited partnerships), convertible bonds and structured products. Operating result exclude any over- or underperformance
\n
compared to management\u2019s best estimate investment return on assets. Based on current holdings and asset returns, the long-
\n
term expected return on an annual basis is 3-10%, depending on asset class, including cash income and market value changes.
\n
The expected earnings from these asset classes are net of deferred policy acquisition costs (DPAC) where applicable.
\n
In addition, certain products offered by Aegon Americas contain guarantees and are reported on a fair value basis and include
\n
the total return annuities and guarantees on variable annuities. The earnings on these products are impacted by movements
\n
in equity markets and risk-free interest rates. Short-term developments in the financial markets may therefore cause volatility
\n
in earnings.
\n
The fair value movements of certain guarantees and the fair value change of derivatives that hedge certain risks
\n
on these guarantees of Aegon's businesses in the Netherlands and Japan are excluded from operating result, because
\n
management's best estimate expected return for these guarantees is set at zero. In addition, fair value items include
\n
market related results on the loyalty bonus reserves in the United Kingdom. The value of these reserves are directly related
\n
to policyholder investments which value is directly impacted by movements in equity and bond markets.
\n
Holding and other activities include certain issued bonds that are held at fair value through profit or loss (FVTPL). The interest
\n
rate risk on these bonds is hedged using swaps. The fair value movement resulting from changes in Aegon\u2019s credit spread used
\n
in the valuation of these bonds are excluded from operating result and reported under fair value items.
\n
The periodic intangibles unlocking in the US Life and TLB business is recorded in fair value items instead of operating result.
\n
Realized gains or losses on investments
\n
Realized gains or losses on investments includes realized gains and losses on available-for-sale investments, mortgage loans
\n
and other loan portfolios.
\n
Impairment charges/(reversals)
\n
Impairment charges/(reversals) include impairments on available-for-sale debt securities, shares including the effect
\n
of deferred policyholder acquisition costs, mortgage loans and other loan portfolios at amortized cost, joint ventures
\n
and associates. Impairment reversals include reversals on available-for-sale debt securities. For Aegon the Netherlands,
\n
Aegon Integrated Annual Report
2022 |
199
\n
Notes to the consolidated financial statements
Note 5
the expected impairments on alternative assets classes (e.g. illiquid investments \u2013 including consumer loans and catastrophe
\n
bonds \u2013 and residential real estate) are allocated to operating result in order to present management's best estimate
\n
investment return in operating result. Deviations from the expected impairments are presented as part of impairment charges /
\n
(reversals) in non-operating result.
\n
Other income or charges
\n
Other income or charges includes the following:
\n
\u2022
\n
Items which cannot be directly allocated to a specific line of business;
\n
\u2022
\n
The impact of actuarial and economic assumption and model updates used to support calculations of our liabilities for
\n
insurance and investment contracts sold to policyholders and related assets (refer to note 3 Critical accounting estimates
\n
and judgement in applying accounting policies); and
\n
\u2022
\n
Items that are outside the normal course of business, including restructuring charges.
\n
In the Consolidated income statement, the restructuring charges are included in operating expenses. Actuarial assumption and
\n
model updates are recorded in 'Policyholder claims and benefits' in the Consolidated income statement.
\n
Share in earnings of joint ventures and associates
\n
Earnings from Aegon\u2019s joint ventures in China, India, the Netherlands, Spain and Portugal, and Aegon\u2019s associates in France,
\n
the Netherlands and United Kingdom are reported as part of operating result.
\n
The following table presents Aegon's segment results.
\n
Income statement - Operating
\n
result
Americas
\n
The
\n
Nether-
\n
lands
\n
United
\n
Kingdom
International
\n
Asset
\n
Manage-
\n
ment
\n
Holding and
\n
other
\n
activities
Eliminations
\n
Segment
\n
total
\n
Joint
\n
ventures and
\n
associates
\n
eliminations
\n
Consoli-
\n
dated
\n
2022
\n
Operating result
\n
790
783
206
167
193
(220)
(0)
1,918
(40)
1,878
\n
Fair value items
(1,644)
415
10
21
(3)
(21)
(8)
(1,231)
(9)
(1,240)
\n
Realized gains / (losses) on
\n
investments
(479)
(181)
3
-
-
7
(0)
(650)
(16)
(666)
\n
Impairment charges
(32)
15
(11)
(8)
-
(18)
-
(55)
(2)
(57)
\n
Impairment reversals
19
-
-
-
-
-
-
19
-
19
\n
Non-operating items
(2,136)
249
1
13
(3)
(32)
(8)
(1,917)
(27)
(1,944)
\n
Other income / (charges)
(526)
(1,970)
(37)
373
(19)
(141)
(0)
(2,321)
(18)
(2,339)
\n
Result before tax
(1,872)
(939)
170
553
171
(393)
(8)
(2,319)
(85)
(2,404)
\n
Income tax (expense) / benefit
462
(618)
1
(36)
(67)
74
(0)
(185)
85
(99)
\n
Net result
(1,411)
(1,557)
171
516
104
(319)
(8)
(2,504)
-
(2,504)
\n
Inter-segment operating result
(362)
(94)
(75)
55
188
288
\n
Revenues
\n
2022
\n
Life insurance gross premiums
7,329
1,168
4,081
1,280
-
-
6
13,864
(1,016)
12,848
\n
Accident and health insurance
1,407
257
-
184
-
-
-
1,848
(79)
1,769
\n
General insurance
-
144
-
182
-
-
-
326
(182)
144
\n
Total gross premiums
8,735
1,569
4,081
1,646
-
-
6
16,037
(1,276)
14,761
\n
Investment income
3,467
1,728
1,951
297
12
474
(477)
7,453
(114)
7,338
\n
Fee and commission income
2,021
325
217
42
693
-
(187)
3,111
(240)
2,871
\n
Other revenues
-
-
-
26
5
-
-
31
(30)
1
\n
Total revenues
14,223
3,622
6,250
2,011
710
474
(658)
26,633
(1,661)
24,972
\n
Inter-segment revenues
(5)
3
-
-
187
473
\n
The other charges of the Americas in 2022 are mainly due to unfavorable impacts from model and assumption updates and
\n
restructuring charges.
\n
The other charges of The Netherlands in 2022 mainly reflects an impairment loss triggered by classifying Aegon
\n
the Netherlands as held for sale, refer for more information to note 51 Discontinued operations.
\n
|
Aegon Integrated Annual Report
2022
200
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The income tax of The Netherlands includes a one-time tax charge of EUR 454 million related to the settlement of a tax position
\n
in connection with the transaction with a.s.r., refer to note 51 Discontinued operations.
\n
Income statement - Operating
\n
result
Americas
\n
The
\n
Nether-
\n
lands
\n
United
\n
Kingdom
International
\n
Asset
\n
Manage-
\n
ment
\n
Holding and
\n
other
\n
activities
Eliminations
\n
Segment
\n
total
\n
Joint
\n
ventures and
\n
associates
\n
eliminations
\n
Consoli-
\n
dated
\n
2021
\n
Operating result
\n
790
755
184
143
253
(218)
(1)
1,906
42
1,948
\n
Fair value items
698
(201)
(62)
(18)
(1)
12
3
432
(123)
309
\n
Realized gains / (losses) on
\n
investments
313
118
10
2
2
1
-
446
(9)
437
\n
Impairment charges
(19)
(19)
-
-
(1)
(11)
-
(49)
-
(49)
\n
Impairment reversals
33
59
-
1
-
8
-
101
-
101
\n
Non-operating items
1,025
(44)
(51)
(15)
-
11
3
930
(132)
798
\n
Other income / (charges)
(667)
(23)
1
65
(18)
(138)
-
(780)
12
(768)
\n
Result before tax
1,149
688
134
193
235
(344)
2
2,056
(78)
1,979
\n
Income tax (expense) / benefit
(137)
(183)
(12)
(36)
(65)
77
-
(355)
78
(278)
\n
Net result
1,012
505
122
157
170
(267)
2
1,701
-
1,701
\n
Inter-segment operating result
(20)
(95)
(96)
(31)
191
51
\n
Revenues
\n
2021
\n
Life insurance gross premiums
6,917
1,323
4,613
1,372
-
-
-
14,225
(825)
13,400
\n
Accident and health insurance
1,273
254
3
179
-
-
-
1,709
(67)
1,643
\n
General insurance
-
136
-
432
-
-
-
569
(168)
401
\n
Total gross premiums
8,190
1,713
4,616
1,984
-
-
-
16,504
(1,060)
15,444
\n
Investment income
2,909
2,088
1,691
361
12
242
(261)
7,042
(75)
6,967
\n
Fee and commission income
1,920
300
223
59
800
-
(183)
3,120
(335)
2,785
\n
Other revenues
-
-
-
14
2
12
-
27
(15)
13
\n
Total revenues
13,019
4,101
6,531
2,418
814
254
(444)
26,693
(1,484)
25,209
\n
Inter-segment revenues
1
14
-
-
182
247
\n
Aegon Integrated Annual Report
2022 |
201
\n
Notes to the consolidated financial statements
Note 5
The Americas recorded other charges of EUR 667 million in 2021 mainly due to a one-time charge as a result of management
\n
actions to release capital and increase the predictability of capital generation from the US variable annuity business and
\n
unfavorable impacts from model and assumption updates.
\n
Income statement - Operating
\n
result
Americas
\n
The
\n
Nether-
\n
lands
\n
United
\n
Kingdom
International
\n
Asset
\n
Manage-
\n
ment
\n
Holding and
\n
other
\n
activities
Eliminations
\n
Segment
\n
total
\n
Joint
\n
ventures and
\n
associates
\n
eliminations
\n
Consoli-
\n
dated
\n
2020
\n
Operating result
\n
781
665
144
175
182
(237)
1
1,710
31
1,741
\n
Fair value items
(448)
50
(2)
(7)
22
(36)
-
(421)
(87)
(508)
\n
Realized gains / (losses) on
\n
investments
93
14
-
46
1
(3)
-
150
(8)
142
\n
Impairment charges
(173)
(50)
-
(16)
(1)
(25)
-
(265)
1
(264)
\n
Impairment reversals
27
1
-
-
-
-
-
28
-
28
\n
Non-operating items
(501)
15
(1)
22
22
(65)
-
(508)
(94)
(602)
\n
Other income / (charges)
(1,110)
78
(68)
(1)
(8)
(130)
-
(1,239)
15
(1,224)
\n
Result before tax
(829)
758
74
197
195
(433)
1
(37)
(47)
(84)
\n
Income tax (expense) / benefit
288
(197)
(7)
(26)
(44)
78
-
92
47
139
\n
Net result
(541)
561
67
170
151
(355)
1
55
-
55
\n
Inter-segment operating result
(40)
(87)
(86)
(35)
193
62
\n
Revenues
\n
2020
\n
Life insurance gross premiums
6,946
1,619
4,833
1,255
-
4
(3)
14,654
(726)
13,929
\n
Accident and health insurance
1,380
245
25
193
-
-
-
1,844
(59)
1,784
\n
General insurance
-
130
-
388
-
-
-
519
(132)
386
\n
Total gross premiums
8,326
1,994
4,858
1,836
-
5
(3)
17,016
(917)
16,099
\n
Investment income
2,986
2,083
1,795
362
7
261
(281)
7,212
(63)
7,149
\n
Fee and commission income
1,653
255
194
50
750
(9)
(180)
2,713
(308)
2,405
\n
Other revenues
-
-
-
9
2
3
-
14
(10)
4
\n
Total revenues
12,964
4,332
6,847
2,257
759
260
(465)
26,955
(1,298)
25,657
\n
Inter-segment revenues
1
21
-
-
188
264
\n
|
Aegon Integrated Annual Report
2022
202
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The Group uses operating result in its segment reporting as an important indicator of its financial performance. The reconciliation
\n
from operating result to result before tax from continuing operations, being the most comparable EU-IFRS measure, is presented
\n
in the table below. For those items that cannot be directly reconciled to the respective notes, the explanation is provided below
\n
the table. Aegon believes that operating result, together with the other information included in this report, provides a meaningful
\n
measure for the investing public to evaluate Aegon\u2019s business relative to the businesses of its peers.
\n
Presentation Non-Operating result
Note
2022
2021
2020
\n
Result before tax from continuing operations
\n
(1,543)
1,164
(958)
\n
Result before tax from discontinued operations
51
914
815
874
\n
Impairment loss on remeasurement of disposal group
51
(1,775)
-
-
\n
Result before tax from continuing operations and discontinued
\n
operations
(2,404)
1,979
(84)
\n
Elimination of share in earnings of joint ventures and associates
40
(42)
(31)
\n
Premium income
6
(1)
5
(4)
\n
Rental income
7
76
71
68
\n
Dividend income
7
(2)
(76)
40
\n
Fee and commission income
8
(41)
(30)
5
\n
Recovered claims and benefits
9
-
31
143
\n
Change in valuation of reinsurance ceded
9
208
43
(86)
\n
Net fair value change of general account financial investments at
\n
fair value through profit or loss, other than derivatives
10
1,234
4
421
\n
Net fair value change on borrowings and other financial liabilities
10
(5)
13
(2)
\n
Realized gains and losses on financial investments
10
718
(463)
(132)
\n
Gains and (losses) on investments in real estate
10
51
(253)
(74)
\n
Net fair value change of derivatives
10
1,948
893
(894)
\n
Other income
11
(401)
(77)
(68)
\n
Benefits and claims paid life
12
14
217
-
\n
Change in valuation of liabilities for insurance contracts
12
(1,937)
(994)
1,422
\n
Change in valuation of liabilities for investment contracts
12
(9)
8
7
\n
Policyholder claims and benefits - Other
12
(20)
(38)
(19)
\n
Commissions and expenses
14
651
715
450
\n
Impairment (charges) reversals
15
34
(53)
318
\n
Interest charges and related fees
16
-
-
82
\n
Other charges
17
1,764
37
150
\n
Results of CEE businesses which were previously reported in
\n
operating results
-
(85)
-
\n
Operating result
1,918
1,906
1,710
\n
\u2022
\n
Net fair value change of general account financial investments at fair value through profit or loss, other than derivatives is
\n
reported as part of the respective line in note 10 and reflects the over- or underperformance of investments and guarantees
\n
held at fair value for which the expected long-term return is included in operating result.
\n
\u2022
\n
Net fair value change of derivatives is reported as part of the respective line in note 10 and includes: 1) the over- or
\n
underperformance of derivatives of EUR 2,089 million gain (2021: EUR 8 million loss, 2020: EUR 38 million gain) for which
\n
the expected long-term return is included in operating result; 2) Net fair value change on economic hedges where no hedge
\n
accounting is applied of EUR 142 million loss (2021: EUR 908 million loss, 2020: EUR 907 million gain); 3) Ineffective portion
\n
of hedge transactions to which hedge accounting is applied of EUR 1 million gain (2021: EUR 23 million gain, 2020: EUR 25
\n
million gain).
\n
\u2022
\n
Net foreign currency gains and (losses) are reported as part of the respective line in note 10.
\n
\u2022
\n
Benefits and claims paid life relate to the lump-sum buy-out program for certain variable annuities in the Americas and is
\n
reported as part of the respective line in note 12.
\n
\u2022
\n
Change in valuation of liabilities for insurance contracts is reported as part of the respective line in note 12.
\n
\u2022
\n
Change in valuation of liabilities for investment contracts is reported as part of the respective line in note 12.
\n
\u2022
\n
Policyholder claims and benefits - Other are reported as part of the 'Other' line in note 12 and is related to policyholder tax.
\n
\u2022
\n
Commissions and expenses include: 1) Restructuring charges of EUR 273 million (2021: EUR 240 million charge, 2020: EUR
\n
266 million charge) which are reported as part of Employee and Administration expenses lines in note 14; 2) Amortization of
\n
deferred expenses of EUR 136 million income (2021: income of EUR 260 million, 2020: income of EUR 35 million) which is
\n
reported as part of the respective line in note 14. This is offset against realized gains and losses and impairments on
\n
Aegon Integrated Annual Report
2022 |
203
\n
Notes to the consolidated financial statements
Note 5
financial investments; 3) Amortization of VOBA and future servicing rights of EUR 11 million charge (2021: charge of EUR 87
\n
million; 2020: income of EUR 20 million) which is reported as part of the respective line in note 14. Commissions and
\n
expenses include a DPAC/VOBA fair value adjustment of EUR 151 million loss (2021: gain of EUR 51 million; 2020: gain of
\n
EUR 159 million).
\n
\u2022
\n
Impairment (charges) reversals include: 1) Impairment charges and reversals on financial assets, excluding receivables of
\n
EUR 20 million charge (2021: reversal of EUR 45 million, 2020: charge of EUR 266 million) as shown in note 15; 2)
\n
Impairment charges and reversals on non-financial assets and receivables of EUR 48 million charge (2021: EUR 60 million
\n
charge; 2020: EUR 128 million charge) reported as part of the respective line in note 15.
\n
\u2022
\n
There are no interest charges and related fees that are classified for segment reporting purposes as non-operating results.
\n
Impact from assumption and model updates
\n
During 2022, Aegon implemented actuarial assumption and model updates resulting in a net EUR 480 million charge to result
\n
before tax (2021: EUR 298 million charge). This is mainly related to Aegon\u2019s businesses in the Americas and the Netherlands.
\n
Assumption changes and model updates in the Americas led to a net adverse impact of EUR 354 million and is mainly driven
\n
by charges from reinsurance rate increases and various actuarial assumption updates. The latter mainly related to updated
\n
policyholder behaviour and mortality assumption in Individual Life. Assumption changes and model updates in the Netherlands
\n
led to an unfavorable impact of EUR 118 million and is mainly related to adverse impacts of the annual update of the mortgage
\n
conditional prepayment rate and expense methodology.
\n
The 2021 assumption changes and model updates resulted in a negative impact of EUR 298 million and mainly relates
\n
to Aegon's businesses in the Americas and the Netherlands. Assumption changes and model updates in the Americas led to a
\n
net negative impact of EUR 250 million. This mainly reflects a charge of EUR 123 million related to an update of the minimum
\n
surrender rate assumption for variable annuities with guaranteed lifetime withdrawal benefits from 2% to 1.5% to reflect
\n
latest portfolio and industry experience. Assumption changes and model updates in the Netherlands led to a negative
\n
impact of EUR 52 million, mainly related to adverse impacts from a more granular modeling driven by the conversion
\n
of the administration of defined benefit pensions to TKP. This was partly offset by the favorable impact of model updates
\n
relating to interest guarantees and indexation assumptions for certain pension products.
\n
The 2020 assumption changes and model updates amounted to a negative impact of EUR 580 million and mainly relates
\n
to Aegon\u2019s businesses in the Americas and the Netherlands. Assumption changes and model updates in the Americas led to a
\n
net negative impact of EUR 805 million. This reflects a charge of EUR 460 million related to the lowering the long-term interest
\n
rate assumption from 4.25% to 2.75% and the corresponding adjustment of the separate account bond return assumptions.
\n
Non-economic assumption changes resulted in a charge of EUR 345 million, mainly related to Universal Life premium
\n
persistency and an increase in mortality rate assumptions, as well as lowering the morbidity improvement assumption for Long-
\n
Term Care from 1.5% to 0.75% per year for the next 15 years. Assumption changes and model updates in the Netherlands led
\n
to a favorable impact of EUR 225 million mainly related to favorable longevity assumption changes, partially offset by adverse
\n
impacts from mortgage prepayment model and expense assumption updates.
\n
|
Aegon Integrated Annual Report
2022
204
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Other selected income statement items
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
International
\n
Asset
\n
Management
\n
Holding and
\n
other
\n
activities
Total
\n
2022
\n
Amortization of deferred expenses, VOBA and
\n
future servicing rights
850
-
107
36
-
-
993
\n
Depreciation
53
-
4
6
2
7
73
\n
Impairment charges / (reversals) on financial
\n
assets, excluding receivables
12
-
-
7
-
-
20
\n
Impairment charges / (reversals) on
\n
non- financial assets and receivables
17
-
11
1
-
18
48
\n
2021
\n
Amortization of deferred expenses, VOBA and
\n
future servicing rights
929
-
113
61
-
-
1,103
\n
Depreciation
56
20
6
15
2
1
99
\n
Impairment charges / (reversals) on financial
\n
assets, excluding receivables
(23)
(14)
-
-
-
(8)
(45)
\n
Impairment charges / (reversals) on
\n
non- financial assets and receivables
37
12
-
-
1
11
60
\n
2020
\n
Amortization of deferred expenses, VOBA and
\n
future servicing rights
637
-
119
97
-
-
854
\n
Depreciation
56
20
9
12
2
1
101
\n
Impairment charges / (reversals) on financial
\n
assets, excluding receivables
151
86
-
15
-
11
262
\n
Impairment charges / (reversals) on non-
\n
financial assets and receivables
72
21
17
-
4
14
128
\n
Number of employees
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
International
\n
Asset
\n
Management
\n
Holding and
\n
other
\n
activities
Total
\n
2022
\n
Number of employees - headcount
6,153
3,609
2,621
4,281
1,464
958
19,087
\n
Of which Aegon's share of employees in joint
\n
ventures and associates
-
-
62
3,239
206
-
3,507
\n
2021
\n
Number of employees - headcount
7,675
3,534
2,476
6,590
1,675
321
22,271
\n
Of which Aegon's share of employees in joint
\n
ventures and associates
733
-
59
3,245
191
-
4,228
\n
2020
\n
Number of employees - headcount
7,960
3,521
2,307
6,598
1,527
409
22,322
\n
Of which Aegon's share of employees in joint
\n
ventures and associates
669
-
47
3,294
183
-
4,193
\n
Aegon Integrated Annual Report
2022 |
205
\n
Notes to the consolidated financial statements
Note 5
Summarized assets and liabilities per
\n
segment
Americas
\n
The
\n
Netherlands
\n
1)
\n
United
\n
Kingdom
\n
Interna-
\n
tional
\n
Asset
\n
Manage-
\n
ment
\n
Holding and
\n
other
\n
activities
Eliminations
Total
\n
2022
\n
Assets
\n
Cash and Cash equivalents
1,097
-
182
122
367
1,639
-
3,407
\n
Assets held for sale
-
88,902
-
-
-
-
-
88,902
\n
Investments
73,132
-
1,457
2,061
136
39
-
76,825
\n
Investments for account of policyholders
89,535
-
90,007
464
-
-
-
180,006
\n
Investments in joint ventures
-
-
-
972
471
(0)
-
1,443
\n
Investments in associates
-
-
-
20
129
16
-
165
\n
Deferred expenses
12,657
-
736
57
-
-
(564)
12,886
\n
Other assets
30,796
-
2,883
7,648
136
19,091
(23,252)
37,302
\n
Total assets
207,217
88,902
95,264
11,344
1,239
20,784
(23,815)
400,936
\n
Liabilities
\n
Insurance contracts
84,905
-
1,373
8,255
-
-
(7,223)
87,309
\n
Insurance contracts for account of
\n
policyholders
66,842
-
33,122
446
-
-
-
100,409
\n
Investment contracts
10,483
-
174
2
-
-
-
10,658
\n
Investment contracts for account of
\n
policyholders
22,693
-
57,836
26
-
-
-
80,555
\n
Liabilities held for sale
-
84,119
-
-
-
-
-
84,119
\n
Other liabilities
16,194
-
1,511
851
414
7,225
(1,870)
24,325
\n
Total liabilities
201,117
84,119
94,015
9,580
414
7,225
(9,093)
387,376
\n
1
\n
Please refer to note 51 Discontinued operations for the summarized assets and liabilities of Aegon the Netherlands
\n
In 2022, an intragroup reinsurance agreement was concluded between Americas (Transamerica Life Insurance Company - TLIC)
\n
and International (Transamerica Life (Bermuda) - TLB) to reinsure a substantial portion of the life business from TLB to TLIC,
\n
predominantly existing of UL policies with secondary guarantees. Underlying assets and liabilities have been transferred from
\n
TLB to TLIC at book value without an impact on the consolidated statement of financial position of Aegon. The consideration
\n
received by TLIC was less than the reserves assumed from TLB, resulting in a day-one loss on the transaction for TLIC
\n
and a day-one gain for TLB, which are, in line with Aegon\u2019s accounting policies, recorded as a deferred cost of reinsurance.
\n
The Americas segment in the table above includes an EUR 0.6 billion deferred cost of reinsurance asset reported as part
\n
of deferred expenses. The International segment includes an equal but offsetting deferred cost of reinsurance liability as part
\n
of other liabilities. Both the deferred cost of reinsurance asset and liability are eliminated in the Elimination column.
\n
Summarized assets and liabilities per
\n
segment
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
\n
Interna-
\n
tional
\n
Asset
\n
Manage-
\n
ment
\n
Holding and
\n
other
\n
activities
Eliminations
Total
\n
2021
\n
Assets
\n
Cash and Cash equivalents
1,127
3,718
210
282
311
1,242
-
6,889
\n
Investments
80,938
67,017
1,876
8,315
296
21
-
158,463
\n
Investments for account of policyholders
115,596
25,673
108,713
974
-
-
(4)
250,953
\n
Investments in joint ventures
56
343
-
936
368
39
-
1,743
\n
Investments in associates
-
1,103
9
18
151
20
(12)
1,289
\n
Deferred expenses
9,052
235
825
391
-
-
-
10,503
\n
Other assets
27,268
9,318
2,125
2,064
199
32,203
(34,133)
39,044
\n
Total assets
234,037
107,408
113,758
12,979
1,326
33,525
(34,149)
468,884
\n
Liabilities
\n
Insurance contracts
74,967
40,547
1,490
9,028
-
-
(1,611)
124,422
\n
Insurance contracts for account of
\n
policyholders
83,316
25,294
39,955
758
-
-
-
149,323
\n
Investment contracts
9,804
11,767
194
2
-
-
-
21,767
\n
Investment contracts for account of
\n
policyholders
32,280
2,273
69,819
220
-
-
-
104,592
\n
Other liabilities
17,382
20,038
799
518
540
6,685
(4,022)
41,940
\n
Total liabilities
217,750
99,920
112,257
10,526
540
6,685
(5,633)
442,044
\n
|
Aegon Integrated Annual Report
2022
206
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
As per January 1, 2022, MAG Seguros is no longer reported within the Americas segment, but is reported in the International
\n
segment. This change is applied prospectively in the investments overview
\n
Amounts included in the tables on investments are presented on an IFRS basis, which means that investments in joint ventures
\n
and associates are not consolidated on a proportionate basis. Instead, these investments are included on a single line using
\n
the equity method of accounting.
\n
Investments
Americas
\n
The
\n
Netherlands
\n
1)
\n
United
\n
Kingdom
\n
Interna-
\n
tional
\n
Asset
\n
Manage-
\n
ment
\n
Holding and
\n
other
\n
activities
Eliminations
Total
\n
2022
\n
Shares
345
-
25
10
7
1
-
388
\n
Debt securities
51,008
-
777
1,847
15
-
-
53,647
\n
Loans
12,475
-
-
43
-
38
-
12,556
\n
Other financial assets
9,262
-
654
145
114
-
-
10,175
\n
Investments in real estate
42
-
-
17
-
-
-
59
\n
Investments general account
73,132
-
1,457
2,061
136
39
-
76,825
\n
Shares
-
-
15,493
12
-
-
-
15,505
\n
Debt securities
-
-
5,677
17
-
-
-
5,694
\n
Unconsolidated investment funds
89,535
-
64,776
431
-
-
-
154,741
\n
Other financial assets
-
-
3,617
5
-
-
-
3,622
\n
Investments in real estate
-
-
443
-
-
-
-
443
\n
Investments for account of
\n
policyholders
89,535
-
90,007
464
-
-
-
180,006
\n
Investments on balance sheet
162,667
-
91,463
2,526
136
39
-
256,831
\n
Off-balance sheet investments third
\n
parties
216,060
7,325
122,742
3,384
141,067
-
-
490,578
\n
Total revenue-generating investments
378,727
7,325
214,205
5,910
141,203
39
-
747,409
\n
Investments
\n
Available-for-sale
56,564
-
991
1,991
96
-
-
59,643
\n
Loans
12,475
-
-
43
-
38
-
12,556
\n
Financial assets at fair value through
\n
profit or loss
93,585
-
90,029
475
40
1
-
184,130
\n
Investments in real estate
42
-
443
17
-
-
-
502
\n
Total investments on balance sheet
162,667
-
91,463
2,526
136
39
-
256,831
\n
Investments in joint ventures
-
-
-
972
471
(0)
-
1,443
\n
Investments in associates
-
-
-
20
129
16
-
165
\n
Assets held for sale
-
88,902
-
-
-
-
-
88,902
\n
Other assets
44,551
-
3,800
7,827
503
20,730
(23,815)
53,595
\n
Consolidated total assets
207,217
88,902
95,264
11,344
1,239
20,784
(23,815)
400,936
\n
1
\n
Please refer to note 51 Discontinued operations for the assets of Aegon the Netherlands
\n
Aegon Integrated Annual Report
2022 |
207
\n
Notes to the consolidated financial statements
Note 5
Investments
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
\n
Interna-
\n
tional
\n
1)
\n
Asset
\n
Manage-
\n
ment
\n
Holding and
\n
other
\n
activities
Eliminations
Total
\n
2021
\n
Shares
493
1,410
29
72
9
1
-
2,015
\n
Debt securities
61,014
26,951
1,159
8,060
11
-
-
97,195
\n
Loans
11,352
35,990
-
93
-
20
-
47,455
\n
Other financial assets
8,040
79
687
73
276
-
-
9,155
\n
Investments in real estate
39
2,588
-
16
-
-
-
2,643
\n
Investments general account
80,938
67,017
1,876
8,315
296
21
-
158,463
\n
Shares
-
9,078
20,221
243
-
-
(4)
29,539
\n
Debt securities
-
12,044
7,649
128
-
-
-
19,821
\n
Unconsolidated investment funds
115,596
1,059
74,698
597
-
-
-
191,950
\n
Other financial assets
-
3,493
5,581
6
-
-
-
9,080
\n
Investments in real estate
-
-
563
-
-
-
-
563
\n
Investments for account of
\n
policyholders
115,596
25,673
108,713
974
-
-
(4)
250,953
\n
Investments on balance sheet
196,534
92,690
110,589
9,288
296
21
(4)
409,416
\n
Off-balance sheet investments third
\n
parties
240,248
7,711
151,097
2,300
212,779
-
-
614,136
\n
Total revenue-generating investments
436,782
100,402
261,687
11,589
213,076
21
(4)
1,023,552
\n
Investments
\n
Available-for-sale
65,694
24,443
1,299
8,191
257
-
-
99,884
\n
Loans
11,352
35,990
-
93
-
20
-
47,455
\n
Financial assets at fair value through
\n
profit or loss
119,450
29,669
108,727
987
40
1
(4)
258,871
\n
Investments in real estate
39
2,588
563
16
-
-
-
3,206
\n
Total investments on balance sheet
196,534
92,690
110,589
9,288
296
21
(4)
409,416
\n
Investments in joint ventures
56
343
-
936
368
39
-
1,743
\n
Investments in associates
-
1,103
9
18
151
20
(12)
1,289
\n
Other assets
37,447
13,271
3,160
2,736
510
33,444
(34,133)
56,436
\n
Consolidated total assets
234,037
107,408
113,758
12,979
1,326
33,525
(34,149)
468,884",
"dimensions": {
"concept": "ifrs-full:DisclosureOfEntitysReportableSegmentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f27904": {
"value": "Number of employees
Americas
\n
The
\n
Netherlands
\n
United
\n
Kingdom
International
\n
Asset
\n
Management
\n
Holding and
\n
other
\n
activities
Total
\n
2022
\n
Number of employees - headcount
6,153
3,609
2,621
4,281
1,464
958
19,087
\n
Of which Aegon's share of employees in joint
\n
ventures and associates
-
-
62
3,239
206
-
3,507
\n
2021
\n
Number of employees - headcount
7,675
3,534
2,476
6,590
1,675
321
22,271
\n
Of which Aegon's share of employees in joint
\n
ventures and associates
733
-
59
3,245
191
-
4,228
\n
2020
\n
Number of employees - headcount
7,960
3,521
2,307
6,598
1,527
409
22,322
\n
Of which Aegon's share of employees in joint
\n
ventures and associates
669
-
47
3,294
183
-
4,193",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInformationAboutEmployeesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f28846": {
"value": "6 Premium income and premiums paid to reinsurers
2022
2021
\n
1)
\n
2020
\n
1)
\n
Life insurance
11,680
12,077
12,310
\n
Non-life insurance
1,512
1,654
1,795
\n
Total premium income
13,192
13,731
14,105
\n
Accident and health insurance
1,512
1,389
1,539
\n
General insurance
-
265
256
\n
Non-life insurance premium income
1,512
1,654
1,795
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Premium income decreased by EUR 539 million in 2022 (2021: EUR 374 million decrease) mainly driven by the divestments
\n
of Aegon Hungary and Aegon Turkey to Vienna Insurance Group AG Wiener Versicherung Gruppe (VIG). For more information
\n
about these divestments refer to note 48 Companies and businesses acquired and divested.
\n
|
Aegon Integrated Annual Report
2022
208
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
2022
2021
\n
1)
\n
2020
\n
1)
\n
Life insurance
2,057
3,292
2,506
\n
Non-life insurance
132
126
134
\n
Total premiums paid to reinsurers
2,189
3,418
2,640
\n
Accident and health insurance
132
118
127
\n
General insurance
-
8
7
\n
Non-life insurance premiums paid to reinsurers
132
126
134
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Premium paid to reinsurers decreased by EUR 1,229 million in 2022 (2021: EUR 778 million increase), mainly explained
\n
by the increased premiums paid to reinsurers in 2021 which includes a reinsurance transaction covering universal life policies
\nwith secondary guarantees in Americas.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInsurancePremiumRevenueExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f29076": {
"value": "8 Fee and commission income
2022
2021
\n
1)
\n
2020
\n
1)
\n
Fee income from asset management
1,574
1,647
1,512
\n
Commission income
787
640
510
\n
Other
164
168
99
\n
Total fee and commission income
2,525
2,454
2,122
\n
Included in fee and commission income:
\n
Fees on trust and fiduciary activities
242
259
221
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\nnote 51 Discontinued operations. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfFeeAndCommissionIncomeExpenseExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f29109": {
"value": "9 Income from reinsurance ceded
2022
2021
\n
1)
\n
2020
\n
1)
\n
Recovered claims and benefits
3,480
3,377
3,362
\n
Change in technical provisions
(612)
738
309
\n
Commissions
148
147
396
\n
Amortization charges
(9)
2
-
\n
Total
3,009
4,263
4,066
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\nnote 51 Discontinued operations.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfReinsuranceExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f29418": {
"value": "11 Other income
2022
2021
\n
1)
\n
2020
\n
1)
\n
Other income
378
49
62
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Other income in 2022 includes the book gain on the divestment of Aegon Hungary and Aegon Turkey to Vienna Insurance
\n
Group AG Wiener Versicherung Gruppe (VIG) amounting to EUR 288 million, and the book gain on the divestment
\n
of Aegon's 50% stake in the Spanish insurance joint venture with Liberbank to Unicaja Banco amounting to EUR 87 million.
\n
Other income in 2021 includes a gain of EUR 38 million related to the sale of a small-sized Individual Retirement Account (IRA)
\n
portfolio to a third party.
\n
Other income in 2020 includes a book gain of EUR 53 million on the divestment of the joint ventures in Japan.
\nRefer to note 48 Companies and businesses acquired and divested for more details on these divestments. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f29441": {
"value": "12 Policyholder claims and benefits
2022
2021
\n
1)
\n
2020
\n
1)
\n
Benefits and claims paid life
17,313
16,971
12,973
\n
Benefits and claims paid non-life
1,305
1,240
1,290
\n
Change in valuation of liabilities for insurance contracts
(24,879)
19,504
19,723
\n
Change in valuation of liabilities for investment contracts
(10,398)
2,420
1,898
\n
Other
(20)
(38)
(19)
\n
Total
(16,680)
40,097
35,865
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Policyholder claims and benefits includes claims and benefits in excess of account value for products for which deposit
\n
accounting is applied and the change in valuation of liabilities for insurance and investment contracts. The lines ''Change
\n
in valuation of liabilities for insurance contracts'' and ''Change in valuation of liabilities for investment contracts'' reflect
\n
movements in technical provisions resulting from \"Net fair value change on for account of policyholder financial assets
\n
at fair value through profit or loss\" included in note 10 Results from financial transactions of EUR 35,951 million negative
\n
(2021: EUR 22,539 million positive, 2020: EUR 19,935 million positive). In addition, the line ''Change in valuation of liabilities
\n
for insurance contracts'' includes an increase of technical provisions for life insurance contracts of EUR 1,345 million (2021:
\nincrease of EUR 863 million, 2020: increase of EUR 1,707 million).",
"dimensions": {
"concept": "ifrs-full:DisclosureOfClaimsAndBenefitsPaidExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f29530": {
"value": "14 Commissions and expenses
2022
2021
\n
1)
\n
2020
\n
1)
\n
Commissions
2,311
2,539
2,264
\n
Employee expenses
1,707
1,511
1,579
\n
Administration expenses
1,218
1,294
1,298
\n
Deferred expenses
(770)
(1,160)
(741)
\n
Amortization of deferred expenses
885
933
767
\n
Amortization of VOBA and future servicing rights
108
171
87
\n
Total
5,458
5,286
5,253
\n
Included in administration expenses:
\n
Depreciation of equipment, software and real estate held for own use
73
80
81
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Employee expenses
2022
2021
\n
1)
\n
2020
\n
1)
\n
Salaries
1,160
1,092
1,105
\n
Post-employment benefit costs
116
126
137
\n
Social security charges
99
100
97
\n
Other personnel costs
284
150
203
\n
Shares
48
43
37
\n
Total
1,707
1,511
1,579
\n
Included in employee expenses:
\n
Defined contribution expenses
49
35
36
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
In 2021, Aegon expanded the dynamic hedge covering the equity and interest rate risks of its US Variable Annuities block with
\n
guaranteed minimum withdrawal benefits (GMWB) to the entire VA portfolio. Implementing the VA dynamic hedging program
\n
for variable annuities with interest sensitive guaranteed minimum income benefits (GMIBs) and guaranteed minimum death
\n
benefits (GMDBs) resulted in an EUR 350 million one-time charge as per December 31, 2021, of which EUR 254 million
\n
is reported as \u201cAmortization of deferred expenses\u201d and EUR 96 million is reported as \u201cAmortization of VOBA and future
\n
servicing rights\u201d.
\n
Long Term Incentive Plans
\n
Selected senior employees within Aegon, who have not been classified as Material Risk Takers, can be made eligible for
\n
variable compensation, which is partially paid in cash and partially in Aegon shares. The grant price of these shares is equal
\n
to the volume weighted average price (VWAP) on the Euronext stock exchange in Amsterdam during the period between
\n
December 15 preceding the plan year and January 15 of the plan year. The actual allocation of variable compensation in cash
\n
and shares depends on Aegon's performance, the employee\u2019s unit performance and individual performance against predefined
\n
financial and non-financial performance indicators and targets, as well as the continued employment of the employee. Once
\n
variable compensation is allocated, the cash part is paid directly and the payment of the shares is deferred for two years. These
\n
shares are paid out as soon as the Integrated Annual Report has been adopted by the shareholders at the Annual General
\n
Meeting in the last deferral year. Employees are not eligible to receive dividend during the deferral period. In exceptional
\n
circumstances Aegon's Supervisory Board can adjust variable compensation downwards before allocation or pay-out (malus)
\n
or after pay-out (claw back), after considering the outcomes of an ex-ante or ex-post risk assessment.
\n
Variable Compensation Material Risk Takers
\n
Members of the Executive Board and the Management Board as well as other senior employees are classified as Material
\n
Risk Takers in accordance with the Solvency II Legal Framework. In line with these rules, variable compensation for Material
\n
Risk Takers is partially paid in cash and partly in Aegon shares. The grant price of these shares is equal to the volume weighted
\n
average price (VWAP) on the Euronext stock exchange in Amsterdam during the period between December 15 preceding
\n
the plan year and January 15 of the plan year. The actual allocation of variable compensation in cash and shares depends
\n
on Aegon's performance, the employee\u2019s unit performance and individual performance against predefined financial and
\n
non-financial performance indicators and targets, as well as the continued employment of the employee. Once variable
\n
compensation is allocated, the cash part is paid directly and the payment of the shares is deferred for three years. These
\n
Aegon Integrated Annual Report
2022 |
213
\n
Notes to the consolidated financial statements
Note 14
shares are paid out as soon as the Integrated Annual Report has been adopted by the shareholders at the Annual General
\n
Meeting in the last deferral year. Employees are not eligible to receive dividend during the deferral period. For the Members
\n
of the Executive Board, the paid-out shares are subject to an additional holding period of two years. During this holding period,
\n
the Executive Board member is not allowed to sell these shares. In exceptional circumstances Aegon's Supervisory Board can
\n
adjust variable compensation downwards before allocation or pay-out (malus) or after pay-out (claw back), after considering
\n
the outcomes of an ex-ante or ex-post risk assessment.
\n
Shares as Fixed Compensation
\n
Selected members of the Management Board as well as other senior employees receive part of their fixed compensation
\n
in Aegon shares each pay round, next to receiving fixed compensation in cash. The grant price of these shares is equal
\n
to the volume weighted average price (VWAP) on the Euronext stock exchange in Amsterdam during the period between
\n
December 15 preceding the plan year and January 15 of the plan year. Once allocated these shares are unconditional and
\n
do not depend on the continued employment of the employee. These shares are either paid as soon as the Integrated Annual
\n
Report has been adopted by the shareholders at the next Annual General Meeting or the pay-out is deferred until the Integrated
\n
Annual Report has been adopted by the shareholders at the Annual General Meeting three years after the plan year.
\n
In the former case, these paid-out shares are subject to an additional holding period of three years, while in the latter case there
\n
is no holding period after pay-out. During the holding period (if applicable), the employee is not allowed to sell these shares.
\n
During the deferral period (if applicable), the employee is not eligible to receive dividend.
\n
Shares as part of a Sign-on Arrangement
\n
Employees may be offered a sign-on arrangement when joining Aegon, with payments in cash and Aegon shares, within
\n
the applicable rules and regulations. Once allocated, the sign-on shares depend on the continued employment of the employee.
\n
These shares are deferred and typically cliff-vest after one, two and three years after allocation as soon as the Integrated
\n
Annual Report has been adopted by the shareholders at the Annual General Meeting of that year. Employees are not eligible
\n
to receive dividend during the deferral period.
\n
The following overview contains the cumulative number of shares and their status in relation to active Long Term Incentive
\n
Plans, variable compensation allocated to Material Risk Takers, shares allocated as fixed compensation and shares allocated
\n
as part of a sign-on arrangement.
\n
Number of shares per plan year
\n
2018
2019
2020
2021
2022
Total
\n
Conditionally granted
\n
1)
\n
6,513,984
7,378,113
8,381,086
9,449,451
7,495,307
39,217,941
\n
Allocated
\n
2)
\n
6,123,546
6,761,360
6,522,324
13,297,242
-
32,704,472
\n
1
\n
The at target number of shares which were conditionally granted for the plan year.
\n
2
\n
The allocated number of shares based on the actual performance during the plan year.
\n
|
Aegon Integrated Annual Report
2022
214
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Number of shares per plan year
\n
2018
2019
2020
2021
2022
Total
\n
Unvested at January 1, 2021
5,251,551
7,340,768
9,251,766
-
-
21,844,085
\n
Conditionally granted as variable compensation
\n
1)
\n
-
-
-
9,449,451
-
9,449,451
\n
Allocated
\n
2)
\n
4,010
(29,388)
(1,858,762)
2,450,661
-
566,521
\n
Forfeited
(205,734)
(254,543)
(174,128)
(4,729)
-
(639,134)
\n
Vested
(2,037,774)
(259,858)
(221,441)
(69,851)
-
(2,588,924)
\n
Unvested at December 31, 2021
3,012,053
6,796,979
6,997,435
11,825,532
-
28,631,999
\n
Conditionally granted as variable compensation
\n
1)
\n
-
-
-
-
7,495,307
7,495,307
\n
Allocated
\n
2)
\n
65,410
3,445
1,832
3,847,791
2,136,074
6,054,552
\n
Forfeited
(119,833)
(103,121)
(262,567)
(1,050,197)
-
(1,535,718)
\n
Vested
(2,957,630)
(2,899,400)
(327,134)
(835,534)
(183,739)
(7,203,437)
\n
Unvested at December 31, 2022
-
3,797,903
6,409,566
13,787,592
9,447,642
33,442,703
\n
Grant price (in EUR)
\n
3)
\n
5.405
4.162
4.083
3.293
4.491
\n
Fair value of shares at grant date (in EUR)
\n
4)
\n
4.143 to
\n
5.054
\n
2.741 to
\n
3.737
\n
1.794 to
\n
3.796
\n
1.625 to
\n
3.978
\n
3.341 to
\n
5.061
\n
1
\n
The at target number of shares which were conditionally granted as variable compensation for the plan year.
\n
2
\n
Shares that are already allocated during a plan year, are a combination of shares as part of fixed compensation or a sign-on arrangement (e.g. the 2,450,661 shares
\n
allocated during the calendar year 2021 in relation to the 2021 plan year). Shares that are allocated in the calendar year after a plan year, concerns the difference
\n
between the conditionally granted shares for that plan year and the actual number of shares which have been allocated as variable compensation (e.g. the 1,858,762
\n
share correction during 2021 for the 2020 plan year). This number can therefore be positive or negative. Shares allocated during a calendar year in relation to earlier
\n
plan years are backdated corrections to the administration (e.g. during 2021 a correction of 4,010 shares was made in relation to the 2018 plan year).
\n
3
\n
This is the volume weighted average price (VWAP) of Aegon on the Euronext Amsterdam stock exchange for the period December 15 to January 15. For instance for
\n
the 2022 plan year, this is the VWAP for the period December 15, 2021 to January 15, 2022.
\n
4
\n
These fair values are adjusted for expected dividend (for which the participants are not eligible during the deferral period) and for the impact of relative total
\n
shareholder return as performance indicator for variable compensation (where applicable).
\n
Aegon applies a net settlement option for participants in order to meet their income tax obligations when their shares are paid
\n
out. This means that Aegon will not sell shares on the market, but hold these shares within Aegon and settle directly with the tax
\n
authorities in cash.
\nRefer to the Remuneration Report for detailed information on conditional shares granted to the Executive Board. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfExpensesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f29855": {
"value": "15 Impairment charges / (reversals)
Impairment charges / (reversals) comprise:
2022
2021
\n
1)
\n
2020
\n
1)
\n
Impairment charges on financial assets, excluding receivables
39
11
204
\n
Impairment reversals on financial assets, excluding receivables
(19)
(42)
(28)
\n
Impairment charges and reversals on non-financial assets and receivables
48
48
107
\n
Total
68
16
284
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Impairment charges on financial assets, excluding receivables, from:
2022
2021
\n
1)
\n
2020
\n
1)
\n
Shares
3
1
42
\n
Debt securities and money market instruments
36
9
161
\n
Loans
-
-
2
\n
Total
39
11
204
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Impairment reversals on financial assets, excluding receivables, from:
2022
2021
\n
1)
\n
2020
\n
1)
\n
Shares
-
(8)
-
\n
Debt securities and money market instruments
(18)
(30)
(26)
\n
Loans
(1)
(0)
(0)
\n
Other
-
(4)
(1)
\n
Total
(19)
(42)
(28)
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Aegon Integrated Annual Report
2022 |
215
\n
Notes to the consolidated financial statements
Note 15
Impairment charges on financial assets in 2020 were mainly driven by Americas impairments on public fixed income
\n
holdings, primarily in the energy sector, as a consequence of the weakening demand related to the nationwide lockdown due
\n
to COVID-19.
\n
Impairment charges on non-financial assets and receivables in 2020 are mainly related to a valuation allowance due
\n
to the ongoing rehabilitation process of a reinsurer of Aegon Americas for EUR 68 million.
\nFor more details on impairments on financial assets, excluding receivables, refer to note 4 Financial risks. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfImpairmentOfAssetsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f29962": {
"value": "16 Interest charges and related fees
2022
2021
\n
1)
\n
2020
\n
1)
\n
Subordinated loans
119
110
110
\n
Trust pass-through securities
9
8
9
\n
Borrowings
115
65
96
\n
Other
85
64
190
\n
Total
329
246
405
\n
Included in interest charges and related fees:
\n
Interest charges accrued on financial liabilities not carried at fair value
\n
through profit or loss
221
121
132
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\nOther includes interest charges on short term borrowings and bank fees. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInterestExpenseExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f30001": {
"value": "17 Other charges
2022
2021
\n
1)
\n
2020
\n
1)
\n
Other charges
(5)
101
104
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Other charges in 2022 are mainly related to the result of a release of an accrual.
\n
Other charges in 2021 are mainly related to settlements of certain universal life policies in the US. For more details refer to note
\n
45 commitments and contingencies.
\n
Other charges in 2020 are mainly driven by charges of EUR 91 million (USD 104 million) related to settlements of certain
\nuniversal life policies in the US.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfOtherOperatingExpenseExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f30044": {
"value": "18 Income tax
Note
2022
2021
\n
1)
\n
2020
\n
1)
\n
Current tax
\n
Current year
(6)
(18)
(23)
\n
Adjustments to prior years
(3)
(6)
(24)
\n
(9)
(24)
(47)
\n
Deferred tax
\n
40
\n
Origination / (reversal) of temporary differences
(540)
163
(309)
\n
Changes in tax rates / bases
(2)
(39)
(11)
\n
Changes in deferred tax assets as a result of recognition /
\n
write off of previously not recognized / recognized tax
\n
losses, tax credits and deductible temporary differences
8
(5)
12
\n
Non-recognition of deferred tax assets
9
9
7
\n
Adjustments to prior years
16
(9)
11
\n
(509)
119
(289)
\n
Income tax for the period (income) / charge
(518)
95
(336)
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Reconciliation between standard and effective income tax:
2022
2021
\n
1)
\n
2020
\n
1)
\n
Result before tax from continuing operations
(1,543)
1,164
(958)
\n
Income tax calculated using weighted average applicable statutory tax rates
(329)
231
(218)
\n
Difference due to the effects of:
\n
Non-taxable income
(116)
(57)
(54)
\n
Non-tax deductible expenses
12
21
21
\n
Changes in tax rate/base
(2)
(39)
(11)
\n
Different tax rates on overseas earnings
3
-
-
\n
Tax credits
(43)
(48)
(57)
\n
Other taxes
(46)
38
(2)
\n
Adjustments to prior years
12
(15)
(12)
\n
Change in uncertain tax positions
(0)
(16)
-
\n
Changes in deferred tax assets as a result of recognition / write off of
\n
previously not recognized / recognized tax losses, tax credits and
\n
deductible temporary differences
8
(5)
12
\n
Non-recognition of deferred tax assets
9
9
7
\n
Tax effect of (profit) / losses from joint ventures and associates
(19)
(18)
(17)
\n
Other
(8)
(5)
(4)
\n
(189)
(136)
(118)
\n
Income tax for the period (result) / charge
(518)
95
(336)
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
The weighted average applicable statutory tax rate for 2022 is 21.3% (2021: 19.9%, 2020: 22.8%). The weighted average
\n
applicable statutory tax rate increased compared to 2021 due to the relatively high contribution of income before tax
\n
in the Netherlands versus high negative income in the United States and income from equity accounted joint ventures and
\n
associates which is presented net of tax in the consolidated income statement. Furthermore, the weighted average applicable
\n
statutory tax rate is impacted by the accounting for discontinued operations including intercompany transactions, refer to note
\n
51 Discontinued operations.
\n
Non-taxable income in 2022 is comprised of the regular non-taxable items such as the dividend received deduction
\n
in the United States and the participation exemption in the Netherlands. Compared to 2021 non-taxable income increased due
\n
to more exempt income in the Netherlands.
\n
Aegon Integrated Annual Report
2022 |
217
\n
Notes to the consolidated financial statements
Note 18
In the Netherlands, the enacted corporate income tax rate increased from 25% to 25.8% as from January 1, 2022 which
\n
resulted in a favorable tax rate impact in 2021. In the United Kingdom, the enacted future corporate income tax rate will
\n
increase from 19% to 25% as of April 1, 2023 which resulted in a beneficial tax rate impact in 2021 and 2022.
\n
Tax credits mainly include tax benefits from United States investments that provide affordable housing to individuals and
\n
families that meet median household income requirements.
\n
Other taxes are lower compared to 2021 due to unfavorable equity and bond markets which yielded lower policyholder taxes
\n
in the United Kingdom and state tax benefits in the United States due to negative income.
\n
In 2021, changes in uncertain tax positions relate to a partial release of certain reassessed tax provisions in the United States.
\n
The following tables present income tax related to components of other comprehensive income and retained earnings.
\n
2022
2021
\n
1)
\n
2020
\n
1)
\n
Items that will not be reclassified to profit and loss:
\n
Changes in revaluation reserve real estate held for own use
-
1
(2)
\n
Remeasurements of defined benefit plans
(5)
(78)
14
\n
(5)
(77)
12
\n
Items that may be reclassified subsequently to profit and loss:
\n
(Gains) / losses on revaluation of available-for-sale investments
2,802
269
(635)
\n
(Gains) / losses transferred to the income statement on disposal and
\n
impairment of available-for-sale investments
(121)
71
(1)
\n
Changes in cash flow hedging reserve
42
47
54
\n
Movement in foreign currency translation and net foreign investment hedging
\n
reserve
(12)
3
(7)
\n
2,710
390
(589)
\n
Total income tax related to components of other comprehensive income
2,706
313
(577)
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
2022
2021
2020
\n
Income tax related to equity instruments and other
\n
Income tax related to equity instruments
31
2
13
18
\n
Other
1
3
1
\n
Total income tax recognized directly in retained earnings
3
16
19",
"dimensions": {
"concept": "ifrs-full:DisclosureOfIncomeTaxExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f30291": {
"value": "19 Earnings per share
Basic earnings per share
\n
Basic earnings per share is calculated by dividing the net result attributable to owners, after deduction of coupons on perpetual
\n
securities and non-cumulative subordinated notes by the weighted average number of common shares, excluding common
\n
shares purchased by the Company and held as treasury shares (refer to note 30.1 Share capital \u2013 par value and 30.3 Treasury
\n
shares respectively).
\n
2022
2021
2020
\n
Continuing and discontinued operations
\n
Net result attributable to owners of Aegon N.V. from continuing and
\n
discontinued operations
(2,533)
1,651
45
\n
Coupons on perpetual securities
(36)
(39)
(38)
\n
Net result attributable to owners for basic earnings per share calculation
\n
from continuing and discontinued operations
(2,569)
1,613
7
\n
Net result attributable to common shareholders from continuing and
\n
discontinued operations
(2,552)
1,602
7
\n
Net result attributable to common shareholders B from continuing and
\n
discontinued operations
(17)
11
-
\n
Weighted average number of common shares outstanding (in million)
2,010
2,043
2,044
\n
Weighted average number of common shares B outstanding (in million)
536
559
561
\n
Basic earnings per common share (EUR per share) from continuing and
\n
discontinued operations
(1.27)
0.78
-
\n
Basic earnings per common share B (EUR per share) from continuing and
\n
discontinued operations
(0.03)
0.02
-
\n
Continuing operations
\n
Net result attributable to owners of Aegon N.V. from continuing operations
(1,054)
1,019
(633)
\n
Coupons on perpetual securities
(36)
(39)
(38)
\n
Net result attributable to owners for basic earnings per share calculation
\n
from continuing operations
(1,090)
981
(670)
\n
Net result attributable to common shareholders from continuing operations
(1,083)
974
(666)
\n
Net result attributable to common shareholders B from continuing
\n
operations
(7)
7
(5)
\n
Weighted average number of common shares outstanding (in million)
2,010
2,043
2,044
\n
Weighted average number of common shares B outstanding (in million)
536
559
561
\n
Basic earnings per common share (EUR per share) from continuing
\n
operations
(0.54)
0.48
(0.33)
\n
Basic earnings per common share B (EUR per share) from continuing
\n
operations
(0.01)
0.01
(0.01)
\n
Discontinued operations
\n
Net result attributable to owners of Aegon N.V. from discontinued operations
(1,479)
632
677
\n
Coupons on perpetual securities
-
-
-
\n
Net result attributable to owners for basic earnings per share calculation
\n
from discontinued operations
(1,479)
632
677
\n
Net result attributable to common shareholders from discontinued
\n
operations
(1,469)
628
673
\n
Net result attributable to common shareholders B from discontinued
\n
operations
(10)
4
5
\n
Weighted average number of common shares outstanding (in million)
2,010
2,043
2,044
\n
Weighted average number of common shares B outstanding (in million)
536
559
561
\n
Basic earnings per common share (EUR per share) from discontinued
\n
operations
(0.73)
0.31
0.33
\n
Basic earnings per common share B (EUR per share) from discontinued
\n
operations
(0.02)
0.01
0.01
\n
Aegon Integrated Annual Report
2022 |
219
\n
Notes to the consolidated financial statements
Note 19
Diluted earnings per share
\n
The diluted earnings per share equaled the basic earnings per share for all years disclosed since there were no Long Term
\nIncentive Plans which were considered dilutive. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfEarningsPerShareExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f30450": {
"value": "2020 Dividend per common share
Final dividend 2022
\n
At the Annual General Meeting of Shareholders currently scheduled for May 25, 2023, the Executive Board will, in line with
\n
its earlier announcement and barring unforseen circumstances, propose a final dividend for the year 2022 of EUR 0.12 per
\n
common share and EUR 0.003 per common share B. If approved and in combination with the interim dividend 2022
\n
of EUR 0.11 per common share, Aegon's total dividend over 2022 will amount to EUR 0.23 per common share and
\n
EUR 0.00575 per common share B. Following the transaction with a.s.r., Aegon increased its dividend per common share target
\n
from around EUR 0.25 to around EUR 0.30 over 2023.
\n
Interim dividend 2022
\n
The interim dividend 2022 was paid in cash or stock at the election of the shareholder. Approximately 60% of shareholders
\n
elected to receive the final dividend in shares. Those who elected stock dividend received one Aegon common share for every
\n
42 common shares held. The stock fraction is based on Aegon's average share price as quoted on Euronext Amsterdam, using
\n
the high and low of each of the five trading days from September 8 up to and including September 14, 2022. The average share
\n
price calculated on this basis amounted to EUR 4.61. The dividend was paid on September 21, 2022.
\n
The shares repurchased as part of the buyback program to neutralize the dilutive effect of the 2022 interim dividend,
\n
as announced on September 27, 2022, will be held as treasury shares and will be used to pay future dividends in shares.
\n
Between October 3, 2022 and December 15, 2022, common shares for an amount of EUR 134 million were repurchased.
\n
A total of 29,833,390 common shares were repurchased at an average price of EUR 4.4897 per share.
\n
Final dividend 2021
\n
It was decided at the Annual General Meeting of Shareholders on May 31, 2022 to pay a final dividend for 2021 of EUR 0.09 per
\n
common share and EUR 0.00225 per common share B. After taking into account the interim dividend of EUR 0.08 per common
\n
share and EUR 0.002 per common share B, Aegon\u2019s total dividend over 2021 amounted to EUR 0.17 per common share and
\n
EUR 0.00425 per common share B.
\n
Interim dividend 2021
\n
The interim dividend 2021 was paid in cash or stock at the election of the shareholder. Approximately 42% of holders
\n
of common shares elected to receive the cash dividend. The remaining 58% of shareholders elected to receive the interim
\n
dividend in stock. The cash dividend amounted to EUR 0.08 per common share, the stock dividend amounted to one new Aegon
\n
common share for every 52 common shares held. The stock dividend and cash dividend are approximately equal in value.
\n
The dividend was payable as of September 17, 2021. The interim dividend 2021 for common shares B amounted to 1/40
\n
th
\n
of the dividend paid on common shares.
\n
To neutralize the dilutive effect of the 2021 interim dividend paid in shares, Aegon executed a program to repurchase
\n
21,531,927 common shares. The repurchase of shares commenced on October 1, 2021 and was completed on October
\n
27, 2021. Aegon engaged a third party to execute the transactions on its behalf. The common shares were repurchased at a
\nmaximum of the average of the daily volume-weighted average prices during the repurchase period.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfDividendsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f30455": {
"value": "0.12",
"decimals": 2,
"dimensions": {
"concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00",
"unit": "iso4217:EUR/xbrli:shares"
}
},
"f30458": {
"value": "0.23",
"decimals": 2,
"dimensions": {
"concept": "ifrs-full:DividendsRecognisedAsDistributionsToOwnersPerShare",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00",
"unit": "iso4217:EUR/xbrli:shares"
}
},
"f30473": {
"value": "0.09",
"decimals": 2,
"dimensions": {
"concept": "ifrs-full:DividendsProposedOrDeclaredBeforeFinancialStatementsAuthorisedForIssueButNotRecognisedAsDistributionToOwnersPerShare",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2021-01-01T00:00:00/2022-01-01T00:00:00",
"unit": "iso4217:EUR/xbrli:shares"
}
},
"f30476": {
"value": "0.17",
"decimals": 2,
"dimensions": {
"concept": "ifrs-full:DividendsRecognisedAsDistributionsToOwnersPerShare",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2021-01-01T00:00:00/2022-01-01T00:00:00",
"unit": "iso4217:EUR/xbrli:shares"
}
},
"f30511": {
"value": "21 Cash and cash equivalents
2022
2021
2020
\n
Cash at bank and in hand
1,827
3,638
4,907
\n
Short-term deposits
345
1,576
2,214
\n
Money market investments
1,235
1,675
1,247
\n
Short-term collateral
-
-
4
\n
At December 31
3,407
6,889
8,372
\n
Cash collateral received related to securities lending, repurchase
\n
agreements and margins on derivatives transactions
5,072
5,776
9,208
\n
Income from security lending programs
7
3
9
\n
Weighted effective interest rate on short-term deposits
15.01%
(0.72%)
(0.64%)
\n
Average maturity days on short-term deposits
44
16
10
\n
The decrease in Cash and cash equivalents in 2022 is mainly the result of the classification of Aegon the Netherlands as held
\n
for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
The carrying amounts disclosed reasonably approximate the fair values as at the year-end.
\n
For cash collateral received related to securities lending, repurchase agreements and margins on derivatives transactions,
\n
a corresponding liability to repay the cash is recognized in other liabilities (refer to note 41 Other liabilities). Also, refer to note
\n
46 Transfer of financial assets for details on collateral received and paid. Investment of cash collateral received is restricted
\n
through limitations on credit worthiness, duration, approved investment categories and borrower limits. Short-term collateral
\n
relates to cash collateral received included in cash and cash equivalents and the remainder is included in other asset classes
\n
as that collateral is typically reinvested. Aegon earns a share of the spread between the collateral earnings and the rebate paid
\n
to the borrower of the securities which is reflected in Income from securities lending programs.
\n
Note
2022
2021
2020
\n
Cash and cash equivalents
3,407
6,889
8,372
\n
Cash classified as Assets held for sale
5,085
-
-
\n
Net cash and cash equivalents
8,491
6,889
8,372
\n
Cash and cash equivalents attributable to Aegon the Netherlands as held for sale and discontinued operations, refer to note
\n
51 Discontinued operations.
\n
Summary cash flow statement
2022
2021
\n
1)
\n
2020
\n
1)
\n
Net cash flows from operating activities
2,851
(1,796)
(2,854)
\n
Net cash flows from investing activities
616
(54)
(139)
\n
Net cash flows from financing activities
(1,920)
300
(778)
\n
Net increase / (decrease) in cash and cash equivalents
1,548
(1,550)
(3,770)
\n
Net cash and cash equivalents are impacted by:
\n
Positive (negative) effects of changes in exchange rates
55
67
(121)
\n
1
\nAmounts for 2021 and 2020 includes the disposal group. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCashAndCashEquivalentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f30612": {
"value": "Analysis of cash flows
2022 compared to 2021
\n
Net cash flows from operating activities
\n
Total net cash flow from operating activities increased by EUR 4,647 million to a EUR 2,851 million inflow (2021:
\n
EUR 1,796 million outflow). The main movements are the decreased cash outflows regarding purchase of investments and
\n
the increased cash inflows from disposal of investments (refer to note 22 Investment), partially offset by outflow from insurance
\n
and investment liabilities (refer to note 34 Insurance contracts) and by the increased outflow from results from financial
\n
transactions (refer to note 10 Results from financial transactions).
\n
Aegon Integrated Annual Report
2022 |
221
\n
Notes to the consolidated financial statements
Note 21
Net cash flows from investing activities
\n
Net cash flows from investing activities increased by EUR 670 million to a EUR 616 million inflow (2021: EUR 54 million outflow).
\n
The main movements are the decreased cash outflows regarding acquisition/capital contribution joint ventures and associates,
\n
partially offset by decreased inflow from disposal joint ventures and associates (refer to note 48 Business combinations and
\n
note 49 Group companies.
\n
Net cash flows from financing activities
\n
Net cash flow from financing activities decreased by EUR 2,220 million to a EUR 1,920 million outflow (2021: EUR 300 million
\n
inflow). The increase is a result of lower repayments of borrowings and higher proceeds (refer to note 37 Borrowings), partially
\n
offset by higher purchases of treasury shares (refer to the table below and note 31 Other equity instruments).
\n
2021 compared to 2020
\n
Net cash flows from operating activities
\n
Total net cash flow from operating activities increased by EUR 1,058 million to a EUR 1,796 million outflow (2020:
\n
EUR 2,854 million outflow). The main movements are the decreased cash outflows regarding purchase of investments and
\n
the increased cash inflows from disposal of investments (refer to note 22 Investment), partially offset by outflow from insurance
\n
and investment liabilities (refer to note 34 Insurance contracts) and by the increased outflow from results from financial
\n
transactions (refer to note 10 Results from financial transactions).
\n
Net cash flows from investing activities
\n
Net cash flows from investing activities increased by EUR 85 million to a EUR 54 million outflow (2020: EUR 139 million
\n
outflow). The main movements are the decreased cash outflows regarding acquisition/capital contribution joint ventures
\n
and associates, partially offset by decreased inflow from disposal joint ventures and associates (refer to note 48 Business
\n
combinations and note 49 Group companies.
\n
Net cash flows from financing activities
\n
Net cash flow from financing activities increased by EUR 1,078 million to a EUR 300 million inflow (2020: EUR 778 million
\n
outflow). The increase is a result of lower repayments of borrowings and higher proceeds (refer to note 37 Borrowings), partially
\n
offset by higher purchases of treasury shares (refer to the table below and note 31 Other equity instruments).
\n
Reconciliation of liabilities arising from financing activities
\n
The table below shows the reconciliation between the net cash flows from financing activities and the liabilities as included
\n
in the consolidated statement of financial position.
\n
Reconciliation of debt from financing
\n
activities
\n
Cash flows
Non-cash changes
\n
At
\n
January
\n
1, 2022
Addition
\n
Repay-
\n
ment
\n
Realized
\n
gains /
\n
losses in
\n
income
\n
state-
\n
ment
\n
Move-
\n
ments
\n
related
\n
to fair
\n
value
\n
hedges
\n
Amorti-
\n
zation
\n
Transfers
\n
to
\n
disposal
\n
groups
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
At
\n
Decem-
\n
ber 31,
\n
2022
\n
Subordinated borrowings
2,194
-
-
-
-
3
-
98
2,295
\n
Trust pass-through securities
126
-
-
-
(15)
(1)
-
8
118
\n
Borrowings
9,661
3,569
(4,086)
-
(0)
1
(5,227)
133
4,051
\n
Assets held to hedge Trust pass-
\n
through securities
3
-
-
(15)
-
-
-
-
(11)
\n
Assets held to hedge Borrowings
-
-
-
-
-
-
-
-
-
\n
|
Aegon Integrated Annual Report
2022
222
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Reconciliation of debt from financing
\n
activities
\n
Cash flows
Non-cash changes
\n
At
\n
January
\n
1, 2021
Addition
\n
Repay-
\n
ment
\n
Realized
\n
gains /
\n
losses in
\n
income
\n
state-
\n
ment
\n
Move-
\n
ments
\n
related
\n
to fair
\n
value
\n
hedges
\n
Amorti-
\n
zation
\n
Transfer
\n
to/from
\n
other
\n
headings
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
At
\n
Decem-
\n
ber 31,
\n
2021
\n
Subordinated borrowings
2,085
-
-
-
3
-
105
2,194
\n
Trust pass-through securities
126
-
-
-
(9)
-
-
9
126
\n
Borrowings
8,524
3,914
(3,000)
-
(1)
1
-
222
9,661
\n
Assets held to hedge Trust pass-
\n
through securities
12
-
-
(9)
-
-
-
1
3
\n
Assets held to hedge Borrowings
62
-
(61)
(1)
-
-
-
-
- ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCashFlowStatementExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f30863": {
"value": "22 Investments
Investments for general account comprise financial assets, excluding derivatives, as well as investments in real estate.
\n
Note
2022
2021
\n
Available-for-sale (AFS)
59,643
99,884
\n
Loans
12,556
47,455
\n
Financial assets at fair value through profit or loss (FVTPL)
4,567
8,481
\n
Total financial assets, excluding derivatives
22.1
76,766
155,820
\n
Investments in real estate
22.2
59
2,643
\n
Total investments for general account
76,825
158,463
\n
The decrease in Investments in 2022 is mainly the result of the classification of Aegon the Netherlands as held for sale and
\n
discontinued operations, refer to note 51 Discontinued operations.
\n
22.1 Financial assets, excluding derivatives
\n
AFS
FVTPL
Loans
Total
Fair value
\n
2022
\n
Shares
195
193
-
388
388
\n
Debt securities
53,093
554
-
53,647
53,647
\n
Money market and other short-term investments
5,514
99
-
5,613
5,613
\n
Mortgage loans
-
-
10,441
10,441
9,245
\n
Private loans
-
-
27
27
27
\n
Deposits with financial institutions
-
-
45
45
45
\n
Policy loans
-
-
2,042
2,042
2,042
\n
Other
840
3,722
-
4,562
4,562
\n
At December 31, 2022
59,643
4,567
12,556
76,766
75,569
\n
2021
\n
Shares
350
1,665
-
2,015
2,015
\n
Debt securities
93,899
3,296
-
97,195
97,195
\n
Money market and other short-term investments
4,790
120
-
4,910
4,910
\n
Mortgage loans
-
-
40,624
40,624
44,366
\n
Private loans
-
-
4,883
4,883
5,491
\n
Deposits with financial institutions
-
-
52
52
52
\n
Policy loans
-
-
1,893
1,893
1,893
\n
Other
844
3,401
3
4,248
4,248
\n
At December 31, 2021
99,884
8,481
47,455
155,820
160,171
\n
2022
2021
\n
Current portion:
\n
Debt securities, money market and other short-term investments, mortgage and private loans
7,294
12,989
\n
Refer to note 44 Fair value for further details on fair value measurement.
\n
Aegon Integrated Annual Report
2022 |
223
\n
Notes to the consolidated financial statements
Note 22
Loan allowance
\n
Movement on the loan allowance account during the year were as follows:
\n
2022
2021
\n
At January 1
(118)
(188)
\n
Addition charged to income statement
(16)
(40)
\n
Reversal to income statement
15
55
\n
Amounts written off
40
55
\n
Transfers to disposal groups
76
-
\n
At December 31
(4)
(118)
\n
22.2 Investments in real estate
\n
2022
2021
\n
At January 1
2,643
2,385
\n
Additions
41
47
\n
Subsequent expenditure capitalized
1
1
\n
Disposals
(40)
(60)
\n
Transfer from real estate for own use and equipment
-
14
\n
Fair value gains / (losses)
(51)
253
\n
Net exchange differences
3
3
\n
Transfers to disposal groups
(2,545)
-
\n
Other
7
-
\n
At December 31
59
2,643
\n
Investments in real estate held by:
\n
Americas
42
39
\n
The Netherlands
-
2,588
\n
Value of Aegon's properties which were appraised in the current year
99%
98%
\n
Appraisals performed by independent external appraisers
95%
98%
\n
Refer to note 45 Commitments and contingencies for a description of non-cancellable lease rights.
\n
2022
2021
\n
1)
\n
2020
\n
1)
\n
Rental income reported as part of investment income
4
(1)
12
\n
Direct operating expenses (Including repairs and maintenance expenses):
\n
- From investment property that generated rental income
5
5
23
\n
- From investment property that did not generate rental income
-
1
1
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
There are no restrictions on the realizability of investment property or the remittance of income and proceeds of disposal.
\nRefer to note 45 Commitments and contingencies for a summary of contractual obligations to purchase investment property.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInvestmentsOtherThanInvestmentsAccountedForUsingEquityMethodExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f31053": {
"value": "22.2 Investments in real estate
2022
2021
\n
At January 1
2,643
2,385
\n
Additions
41
47
\n
Subsequent expenditure capitalized
1
1
\n
Disposals
(40)
(60)
\n
Transfer from real estate for own use and equipment
-
14
\n
Fair value gains / (losses)
(51)
253
\n
Net exchange differences
3
3
\n
Transfers to disposal groups
(2,545)
-
\n
Other
7
-
\n
At December 31
59
2,643
\n
Investments in real estate held by:
\n
Americas
42
39
\n
The Netherlands
-
2,588
\n
Value of Aegon's properties which were appraised in the current year
99%
98%
\n
Appraisals performed by independent external appraisers
95%
98%
\n
Refer to note 45 Commitments and contingencies for a description of non-cancellable lease rights.
\n
2022
2021
\n
1)
\n
2020
\n
1)
\n
Rental income reported as part of investment income
4
(1)
12
\n
Direct operating expenses (Including repairs and maintenance expenses):
\n
- From investment property that generated rental income
5
5
23
\n
- From investment property that did not generate rental income
-
1
1
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
There are no restrictions on the realizability of investment property or the remittance of income and proceeds of disposal.
Refer to note 45 Commitments and contingencies for a summary of contractual obligations to purchase investment property.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInvestmentPropertyExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f31146": {
"value": "23 Investments for account of policyholders
Investments for account of policyholders comprise financial assets at fair value through profit or loss, excluding derivatives,
\n
and investments in real estate.
\n
Note
2022
2021
\n
Shares
15,505
29,539
\n
Debt securities
5,694
19,821
\n
Money market and other short-term investments
1,263
1,482
\n
Deposits with financial institutions
2,360
4,105
\n
Unconsolidated investment funds
154,741
191,950
\n
Other
-
3,493
\n
Total investments for account of policyholders at fair value through profit
\n
or loss, excluding derivatives
179,563
250,390
\n
Investments in real estate
23.1
443
563
\n
Total investments for account of policyholders
180,006
250,953
\n
The decrease in Investments for account of policyholder in 2022 is mainly the result of the classification of Aegon
\n
the Netherlands as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
Refer to note 44 Fair value for a summary of all financial assets and financial liabilities at fair value through profit or loss.
\n
23.1 Investments in real estate for account of policyholders
\n
2022
2021
\n
At January 1
563
467
\n
Additions
-
54
\n
Subsequent expenditure capitalized
10
6
\n
Disposals
(42)
(43)
\n
Fair value gains / (losses)
(61)
46
\n
Net exchange differences
(27)
32
\n
At December 31
443
563
\n
The investment properties are leased out under operating leases.
\n
2022
2021
2020
\n
Rental income reported as part of investment income
34
30
27
\n
Direct operating expenses from investment in real estate for account of
\n
policyholders
5
4
8
\n
There are no restrictions on the realizability of investment property or the remittance of income and proceeds of disposal.
\nRefer to note 45 Commitments and contingencies for a summary of contractual obligations to purchase investment property.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInvestmentsAccountedForUsingEquityMethodExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f31242": {
"value": "24 Derivatives
Derivative asset
Derivative liability
\n
2022
2021
2022
2021
\n
Derivatives for general account
\n
Derivatives not designated in a hedge
2,381
8,138
4,162
8,920
\n
Derivatives designated as fair value hedges
4
224
4
673
\n
Derivatives designated as cash flow hedges
204
346
1,108
948
\n
Derivatives desginated as Net foreign investment hedges
118
73
104
59
\n
2,707
8,780
5,379
10,600
\n
Derivatives for account of policyholders
\n
Derivatives not designated in a hedge
53
46
715
39
\n
Total derivatives
\n
1)
\n
2,760
8,827
6,094
10,639
\n
Of which:
\n
Current
352
723
1,607
2,803
\n
1
\n
Refer to note 44 Fair value for a summary of all financial assets and financial liabilities at fair value through profit or loss.
\n
The decrease in Derivatives in 2022 is mainly the result of the classification of Aegon the Netherlands as held for sale and
\n
discontinued operations, refer to note 51 Discontinued operations.
\n
The derivatives are measured at fair value through profit or loss in accordance with IAS 39. For more details on fair value
\n
measurement of derivatives refer to note 44 Fair value.
\n
Use of derivatives
\n
Derivatives not designated in a hedge - general account
\n
Derivative asset
Derivative liability
\n
Derivatives not designated in a hedge \u2013 general account
2022
2021
2022
2021
\n
Derivatives held as an economic hedge
2,378
8,121
3,198
5,334
\n
Bifurcated embedded derivatives
3
17
964
3,586
\n
Total
2,381
8,138
4,162
8,920
\n
Aegon utilizes derivative instruments as a part of its asset liability risk management practices. The derivatives held for risk
\n
management purposes are classified as economic hedges to the extent that they do not qualify for hedge accounting, or that
\n
Aegon has elected not to apply hedge accounting. The economic hedges of certain exposures relate to an existing asset,
\n
liability or future reinvestment risk. In all cases, these are in accordance with internal risk guidelines and are closely monitored
\n
for continuing compliance.
\n
Bifurcated embedded derivatives that are not closely related to the host contracts have been bifurcated and recorded at fair
\n
value in the consolidated statement of financial position. These bifurcated embedded derivatives are embedded in various
\n
institutional products, modified coinsurance and unit-linked insurance contracts in the form of guarantees for minimum
\n
benefits. Please refer to note 36 Guarantees in insurance contracts for more disclosures about these guarantees.
\n
Credit Default Swaps
\n
Aegon has entered into free-standing credit derivative transactions. The positions outstanding at the end of the year were:
\n
2022
2021
\n
Credit derivative disclosure by quality
Notional
Fair value
Notional
Fair value
\n
AAA
5
-
14
-
\n
AA
177
2
173
3
\n
A
964
9
926
14
\n
BBB
3,446
18
2,925
50
\n
BB
144
(1)
263
1
\n
B or lower
86
(0)
148
2
\n
Total
4,820
28
4,449
70
\n
|
Aegon Integrated Annual Report
2022
226
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Certain derivatives are used to add risk by selling protection in the form of single name and index based credit default
\n
swaps. This involves the purchase of high quality, low risk assets and the sale of credit derivatives. The table above provides
\n
a breakdown in credit quality of these credit derivatives. The credit ratings relate to the underlying exposures of these credit
\n
derivatives.
\n
Derivatives designated as fair value hedges
\n
Aegon's fair value hedges includes interest rate swaps, swaptions, equity and fixed income total return swaps, equity options,
\n
equity futures, bond futures and variance swaps that are used to protect against changes in the fair value of interest rate and
\n
equity sensitive instruments or liabilities. Gains and losses on derivatives designated under fair value hedge accounting are
\n
recognized in the income statement. The effective portion of the fair value change on the hedged item is also recognized
\n
in the income statement. As a result, only the net accounting ineffectiveness has an impact on the net result.
\n
Aegon has entered into interest rate swap agreements that effectively convert certain fixed-rate assets and liabilities to a
\n
floating-rate basis (generally to six months or less LIBOR). These hedges are used for portfolio management to better
\n
match assets to liabilities or to protect the value of the hedged item from interest rate movements. These agreements
\n
involve the payment or receipt of fixed-rate interest amounts in exchange for floating-rate interest amounts over the life
\n
of the agreement without the exchange of the underlying principal amounts. Some of the arrangements use forward starting
\n
swaps to better match the duration of assets and liabilities.
\n
Aegon has entered into cross-currency interest rate swap agreements that effectively convert certain foreign currency
\n
fixed-rate and floating-rate assets and liabilities to US dollar floating-rate assets and liabilities. These agreements involve
\n
the exchange of the underlying principal amounts.
\n
For the years ended December 31, 2022, 2021 and 2020, the gains and (losses) related to the ineffectiveness portion
\n
of designated fair value hedges Aegon recognized are as follows:
\n
2022
2021
\n
1)
\n
2020
\n
1)
\n
Gains (losses) related to the ineffectiveness portion of designated fair value
\n
hedges
4
3
2
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Derivatives designated as cash flow hedges
\n
Aegon has entered primarily into interest rate swap agreements that effectively convert certain variable-rate assets and
\n
liabilities to a fixed-rate basis in order to match the cash flows of the assets and liabilities within Aegon\u2019s portfolio more
\n
closely. These agreements involve the payment or receipt of variable-rate interest amounts in exchange for fixed-rate interest
\n
amounts over the life of the agreement without the exchange of the underlying principal amounts. Aegon hedges its exposure
\n
to the variability of future cash flows from the interest rate movements for terms up to 22 years for hedges converting existing
\n
floating-rate assets and liabilities to fixed-rate assets.
\n
Aegon uses forward starting interest rate swap agreements to hedge the variability in future cash flows associated with
\n
the forecasted purchase of fixed-income assets. These agreements reduce the impact of future interest rate changes
\n
on the forecasted transaction. Fair value adjustments for these interest rate swaps are deferred and recorded in equity until
\n
the occurrence of the forecasted transaction at which time the interest rate swaps will be terminated. The accumulated gain
\n
or loss in equity will be amortized into investment income as the acquired asset affects income. Aegon hedges its exposure
\n
to the variability of future cash flows from interest rate movements for terms up to 21 years. The cash flows from these hedging
\n
instruments are expected to affect the profit and loss for approximately the next 40 years. For the year ended December
\n
31, 2022, the contracts for which cash flow hedge accounting was terminated resulted in deferred gains of EUR 12 million
\n
(2021: EUR 60 million) that are recognized directly in equity to be reclassified into net result during the period when the cash
\n
flows occur of the underlying hedged items. During the year ended December 31, 2022, none of Aegon's cash flow hedges
\n
were discontinued as it was highly probable that the original forecasted transactions would occur by the end of the originally
\n
specified time period documented at the inception of the hedging relationship. Aegon projects investment needs many
\n
years into the future in order to support the insurance liabilities and pay all contractual obligations arising from the policies
\n
in force today.
\n
Aegon Integrated Annual Report
2022 |
227
\n
Notes to the consolidated financial statements
Note 24
In addition, Aegon also makes use of cross currency swaps to convert variable or fixed foreign currency cash flows into fixed
\n
cash flows in local currencies. The cash flows from these hedging instruments are expected to occur over the next 34 years.
\n
These agreements involve the exchange of the underlying principal amounts.
\n
Hedge ineffectiveness and reclassification of gains (losses)
2022
2021
2020
\n
Hedge ineffectiveness on cash flow hedges
(3)
1
-
\n
Gains (losses) reclassified from equity into the income statement
(102)
(38)
74
\n
Expected deferred gain (loss) to be reclassified from equity into net result
\n
during the next 12 months
116
113
92
\n
The periods when the cash flows are expected to occur are as follows:
\n
< 1 year
1 \u2013 5 years
5 \u2013 10 years
> 10 years
2022 Total
\n
Cash inflows
598
2,572
1,887
6,331
11,388
\n
Cash outflows
-
4
-
-
4
\n
Net cash flows
598
2,569
1,887
6,331
11,384
\n
< 1 year
1 \u2013 5 years
5 \u2013 10 years
> 10 years
2021 Total
\n
Cash inflows
535
2,158
1,640
5,868
10,201
\n
Cash outflows
-
4
-
-
4
\n
Net cash flows
535
2,154
1,640
5,868
10,197
\n
Effect of uncertainty of IBOR reform on derivatives designated as fair value and cash flows hedges
\n
The future of IBORs (Interbank Offered Rates) such as EURIBOR, EONIA and LIBOR has been a major topic on the global agenda
\n
since the G20 asked the Financial Stability Board (FSB) to undertake a fundamental review of leading interest rate benchmarks
\n
in 2013. The FSB proposed new standards to reform interest rate benchmarks and the use of transaction-based input data
\n
instead of non-transactional/panel input data. In the EU this is adopted in the new Benchmark Regulation (BMR) which stipulates
\n
that from January 2020 only BMR compliant benchmarks may be used within the EU.
\n
In order to prepare for the IBOR transition all Aegon units have written transition plans containing among others project
\n
solutions and actions, timelines and ownership to ensure timely preparation and implementation. We are currently
\n
implementing the actions as described in the transition plans.
\n
In July 2020 the discount rates of EUR cleared derivatives switched from EONIA to \u20acSTR which impacted the valuation
\n
of derivatives for which compensation was exchanged. All EUR Credit Support Annex ('CSA') which have positions outstanding
\n
have been amended from EONIA to \u20acSTR discounting. In the US, the cleared market has switched discount rates from
\n
Fed Funds to Secured Overnight Funding Rate ('SOFR') in October 2020. The switch in discount rates is expected to lead
\n
to increased liquidity in the new risk free rates.
\n
The majority of the fair value and cash flow hedges are directly exposed to changes in benchmark rates (predominantly
\n
EURIBOR and USD LIBOR). There are no plans for the discontinuation of EURIBOR and appropriate fallback language has been
\n
implemented via the International Swaps and Derivatives ('ISDA') fallback protocol and rulebook changes by the clearing
\n
houses. The relevant USD LIBOR benchmark rates are expected to remain available for existing contracts until mid 2023
\n
and these derivatives will either be actively transitioned to SOFR before the 2023 deadline or via the ISDA fallback protocol.
\n
The total notional of financial instruments designated as fair value or cash flow hedges with a USD LIBOR reference that have
\n
a maturity date beyond June 30, 2023 amount to EUR 3,121 million (2021: EUR 3,439 million).
\n
Aegon applies the reliefs offered in IAS 39 to ensure that this uncertainty does not result in the early termination of hedge
\n
accounting, whilst also assuming for measurement purposes that, owing to the general principle of equivalence, transitions
\n
to alternative rates will not result in significant contract modifications.
\n
Net foreign investment hedges
\n
Aegon funds its investments in insurance subsidiaries with a mixture of debt and equity. Aegon aims to denominate debt
\n
funding in the same currency as the functional currency of the investment. Investments outside the Eurozone, the United
\n
States and the United Kingdom are funded in euros. When the debt funding of investments is not in the functional currency
\n
|
Aegon Integrated Annual Report
2022
228
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
of the investment, Aegon uses derivatives to swap the currency exposure of the debt instrument to the appropriate functional
\n
currency. This policy will ensure that total capital will reflect currency movements without distorting debt to shareholders\u2019
\n
equity ratios. Aegon utilizes various financial instruments as designated hedging instruments of its foreign investments.
\n
These instruments include long-term and short-term borrowings, short-term debts to credit institutions, cross currency swap
\ncontracts and forward foreign exchange contracts. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f31400": {
"value": "Derivatives designated as fair value hedges
Aegon's fair value hedges includes interest rate swaps, swaptions, equity and fixed income total return swaps, equity options,
\n
equity futures, bond futures and variance swaps that are used to protect against changes in the fair value of interest rate and
\n
equity sensitive instruments or liabilities. Gains and losses on derivatives designated under fair value hedge accounting are
\n
recognized in the income statement. The effective portion of the fair value change on the hedged item is also recognized
\n
in the income statement. As a result, only the net accounting ineffectiveness has an impact on the net result.
\n
Aegon has entered into interest rate swap agreements that effectively convert certain fixed-rate assets and liabilities to a
\n
floating-rate basis (generally to six months or less LIBOR). These hedges are used for portfolio management to better
\n
match assets to liabilities or to protect the value of the hedged item from interest rate movements. These agreements
\n
involve the payment or receipt of fixed-rate interest amounts in exchange for floating-rate interest amounts over the life
\n
of the agreement without the exchange of the underlying principal amounts. Some of the arrangements use forward starting
\n
swaps to better match the duration of assets and liabilities.
\n
Aegon has entered into cross-currency interest rate swap agreements that effectively convert certain foreign currency
\n
fixed-rate and floating-rate assets and liabilities to US dollar floating-rate assets and liabilities. These agreements involve
\n
the exchange of the underlying principal amounts.
\n
For the years ended December 31, 2022, 2021 and 2020, the gains and (losses) related to the ineffectiveness portion
\n
of designated fair value hedges Aegon recognized are as follows:
\n
2022
2021
\n
1)
\n
2020
\n
1)
\n
Gains (losses) related to the ineffectiveness portion of designated fair value
\n
hedges
4
3
2
\n
1
\n
Amounts for 2021 and 2020 have been re-presented to reflect the classification of Aegon the Netherlands as held for sale and discontinued operations, refer to
\n
note 51 Discontinued operations.
\n
Derivatives designated as cash flow hedges
\n
Aegon has entered primarily into interest rate swap agreements that effectively convert certain variable-rate assets and
\n
liabilities to a fixed-rate basis in order to match the cash flows of the assets and liabilities within Aegon\u2019s portfolio more
\n
closely. These agreements involve the payment or receipt of variable-rate interest amounts in exchange for fixed-rate interest
\n
amounts over the life of the agreement without the exchange of the underlying principal amounts. Aegon hedges its exposure
\n
to the variability of future cash flows from the interest rate movements for terms up to 22 years for hedges converting existing
\n
floating-rate assets and liabilities to fixed-rate assets.
\n
Aegon uses forward starting interest rate swap agreements to hedge the variability in future cash flows associated with
\n
the forecasted purchase of fixed-income assets. These agreements reduce the impact of future interest rate changes
\n
on the forecasted transaction. Fair value adjustments for these interest rate swaps are deferred and recorded in equity until
\n
the occurrence of the forecasted transaction at which time the interest rate swaps will be terminated. The accumulated gain
\n
or loss in equity will be amortized into investment income as the acquired asset affects income. Aegon hedges its exposure
\n
to the variability of future cash flows from interest rate movements for terms up to 21 years. The cash flows from these hedging
\n
instruments are expected to affect the profit and loss for approximately the next 40 years. For the year ended December
\n
31, 2022, the contracts for which cash flow hedge accounting was terminated resulted in deferred gains of EUR 12 million
\n
(2021: EUR 60 million) that are recognized directly in equity to be reclassified into net result during the period when the cash
\n
flows occur of the underlying hedged items. During the year ended December 31, 2022, none of Aegon's cash flow hedges
\n
were discontinued as it was highly probable that the original forecasted transactions would occur by the end of the originally
\n
specified time period documented at the inception of the hedging relationship. Aegon projects investment needs many
\n
years into the future in order to support the insurance liabilities and pay all contractual obligations arising from the policies
\n
in force today.
\n
Aegon Integrated Annual Report
2022 |
227
\n
Notes to the consolidated financial statements
Note 24
In addition, Aegon also makes use of cross currency swaps to convert variable or fixed foreign currency cash flows into fixed
\n
cash flows in local currencies. The cash flows from these hedging instruments are expected to occur over the next 34 years.
\n
These agreements involve the exchange of the underlying principal amounts.
\n
Hedge ineffectiveness and reclassification of gains (losses)
2022
2021
2020
\n
Hedge ineffectiveness on cash flow hedges
(3)
1
-
\n
Gains (losses) reclassified from equity into the income statement
(102)
(38)
74
\n
Expected deferred gain (loss) to be reclassified from equity into net result
\n
during the next 12 months
116
113
92
\n
The periods when the cash flows are expected to occur are as follows:
\n
< 1 year
1 \u2013 5 years
5 \u2013 10 years
> 10 years
2022 Total
\n
Cash inflows
598
2,572
1,887
6,331
11,388
\n
Cash outflows
-
4
-
-
4
\n
Net cash flows
598
2,569
1,887
6,331
11,384
\n
< 1 year
1 \u2013 5 years
5 \u2013 10 years
> 10 years
2021 Total
\n
Cash inflows
535
2,158
1,640
5,868
10,201
\n
Cash outflows
-
4
-
-
4
\n
Net cash flows
535
2,154
1,640
5,868
10,197
\n
Effect of uncertainty of IBOR reform on derivatives designated as fair value and cash flows hedges
\n
The future of IBORs (Interbank Offered Rates) such as EURIBOR, EONIA and LIBOR has been a major topic on the global agenda
\n
since the G20 asked the Financial Stability Board (FSB) to undertake a fundamental review of leading interest rate benchmarks
\n
in 2013. The FSB proposed new standards to reform interest rate benchmarks and the use of transaction-based input data
\n
instead of non-transactional/panel input data. In the EU this is adopted in the new Benchmark Regulation (BMR) which stipulates
\n
that from January 2020 only BMR compliant benchmarks may be used within the EU.
\n
In order to prepare for the IBOR transition all Aegon units have written transition plans containing among others project
\n
solutions and actions, timelines and ownership to ensure timely preparation and implementation. We are currently
\n
implementing the actions as described in the transition plans.
\n
In July 2020 the discount rates of EUR cleared derivatives switched from EONIA to \u20acSTR which impacted the valuation
\n
of derivatives for which compensation was exchanged. All EUR Credit Support Annex ('CSA') which have positions outstanding
\n
have been amended from EONIA to \u20acSTR discounting. In the US, the cleared market has switched discount rates from
\n
Fed Funds to Secured Overnight Funding Rate ('SOFR') in October 2020. The switch in discount rates is expected to lead
\n
to increased liquidity in the new risk free rates.
\n
The majority of the fair value and cash flow hedges are directly exposed to changes in benchmark rates (predominantly
\n
EURIBOR and USD LIBOR). There are no plans for the discontinuation of EURIBOR and appropriate fallback language has been
\n
implemented via the International Swaps and Derivatives ('ISDA') fallback protocol and rulebook changes by the clearing
\n
houses. The relevant USD LIBOR benchmark rates are expected to remain available for existing contracts until mid 2023
\n
and these derivatives will either be actively transitioned to SOFR before the 2023 deadline or via the ISDA fallback protocol.
\n
The total notional of financial instruments designated as fair value or cash flow hedges with a USD LIBOR reference that have
\n
a maturity date beyond June 30, 2023 amount to EUR 3,121 million (2021: EUR 3,439 million).
\n
Aegon applies the reliefs offered in IAS 39 to ensure that this uncertainty does not result in the early termination of hedge
\n
accounting, whilst also assuming for measurement purposes that, owing to the general principle of equivalence, transitions
\n
to alternative rates will not result in significant contract modifications.
\n
Net foreign investment hedges
\n
Aegon funds its investments in insurance subsidiaries with a mixture of debt and equity. Aegon aims to denominate debt
\n
funding in the same currency as the functional currency of the investment. Investments outside the Eurozone, the United
\n
States and the United Kingdom are funded in euros. When the debt funding of investments is not in the functional currency
\n
|
Aegon Integrated Annual Report
2022
228
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
of the investment, Aegon uses derivatives to swap the currency exposure of the debt instrument to the appropriate functional
\n
currency. This policy will ensure that total capital will reflect currency movements without distorting debt to shareholders\u2019
\n
equity ratios. Aegon utilizes various financial instruments as designated hedging instruments of its foreign investments.
\n
These instruments include long-term and short-term borrowings, short-term debts to credit institutions, cross currency swap
\ncontracts and forward foreign exchange contracts. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfDetailedInformationAboutHedgingInstrumentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f31595": {
"value": "
25 Investments in joint ventures and associates
\n
Joint ventures
Associates
\n
2022
2021
2022
2021
\n
At January 1
1,743
1,376
1,289
1,264
\n
Additions
30
61
40
12
\n
Disposals
(67)
-
(8)
-
\n
Share in net result
286
265
4
112
\n
Share in changes in equity (note 30.6)
(63)
25
3
(6)
\n
Impairment reversals / (charges)
-
-
(9)
3
\n
Dividends
(79)
(88)
(58)
(39)
\n
Net exchange difference
(25)
45
(1)
2
\n
Transfer to / (from) other headings
-
58
-
(58)
\n
Transfer to disposal groups
(382)
-
(1,096)
-
\n
At December 31
1,443
1,743
165
1,289
\n
The decrease in Investments in joint ventures and associates in 2022 is mainly the result of the classification of Aegon
\n
the Netherlands as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
The disposal of joint ventures in 2022 relates to the divestment of Aegon's 50% stake in the Spanish insurance joint venture
\n
with Liberbank to Unicaja Banco, refer to note 48 Companies and businesses acquired and divested.
\n
In 2021, Aegon amended its agreement related to the investment in MAG Seguros and injected EUR 40 million
\n
in the undertaking. Following the amendment the investment required reclassification from Investments in associates
\n
to Investments in joint ventures as the level of influence was affected. The transfer to / (from) other headings in 2021 reflect
\n
the carrying amount of the investment of EUR 58 million prior to the capital injection of EUR 40 million.
\n
With the exception of a limited number of immaterial venture capital entities, all joint ventures and associates are unlisted
\n
and are accounted for using the equity method and are considered to be non-current. The investments in joint ventures and
\n
associates include interest in insurance companies that are required to maintain a minimum solvency margin based on local
\n
directives. Such restrictions can affect the ability of these joint ventures and associates to transfer funds in the form of cash
\n
dividends, or repayment of loans or advances, and therefore, there can be no assurance that these restrictions will not become
\n
a limitation in the future. Refer to note 45 Commitments and contingencies for any commitments and contingencies related
\n
to investments in joint ventures. There are no unrecognized shares of losses in joint ventures and associates. The financial
\n
statements of the principal joint ventures and associates have the same reporting date as the Group. Refer to note 49 Group
\n
companies for a listing of the investments in joint ventures and associates and the Group\u2019s percentage holding.
Summarized financial information of associates
\n
The summarized financial information of associates presented below is based on the Group\u2019s relative holding.
\n
Associates
\n
2022
2021
\n
1)
\n
Post-tax profit or loss
(11)
(15)
\n
Other comprehensive income
1
(5)
\n
Total comprehensive income
(10)
(20)
\n
Carrying amount
165
1,289
\n
1
\n
Amounts for 2021 related to post-tax profit or loss, other comprehensive income and total comprehensive income have been re-presented to reflect the
\n
classification of Aegon the Netherlands as held for sale and discontinued operations, refer to note 51 Discontinued operations.
Investments in associates
\n
The principal investments in associates are listed by geographical segment. The voting powers in these associates is equal
\n
to the shareholdings, unless stated otherwise.
\n
The Netherlands (classified as disposal group)
\n
\u2022
\n
AMVEST Residential Core Fund, Amsterdam (29%)
\n
\u2022
\n
N.V. Levensverzekeringmaatschappij 'De Hoop', The Hague (33%)
\n
\u2022
\n
OB Capital Cooperatief U.A., Amsterdam (95%)
\n
International
\n
\u2022
\n
Aegon Life Insurance Co. ltd (India) (49%; Aegon does not have joint control of the company)
\n
Asset Management
\n
\u2022
\n
La Banque Postale Asset Management, Paris (France) (25%)
Refer to note 25 Investments in joint ventures and associates for further details on these investments. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfSignificantInvestmentsInAssociatesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f31596": {
"value": "
25 Investments in joint ventures and associates
\n
Joint ventures
Associates
\n
2022
2021
2022
2021
\n
At January 1
1,743
1,376
1,289
1,264
\n
Additions
30
61
40
12
\n
Disposals
(67)
-
(8)
-
\n
Share in net result
286
265
4
112
\n
Share in changes in equity (note 30.6)
(63)
25
3
(6)
\n
Impairment reversals / (charges)
-
-
(9)
3
\n
Dividends
(79)
(88)
(58)
(39)
\n
Net exchange difference
(25)
45
(1)
2
\n
Transfer to / (from) other headings
-
58
-
(58)
\n
Transfer to disposal groups
(382)
-
(1,096)
-
\n
At December 31
1,443
1,743
165
1,289
\n
The decrease in Investments in joint ventures and associates in 2022 is mainly the result of the classification of Aegon
\n
the Netherlands as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
The disposal of joint ventures in 2022 relates to the divestment of Aegon's 50% stake in the Spanish insurance joint venture
\n
with Liberbank to Unicaja Banco, refer to note 48 Companies and businesses acquired and divested.
\n
In 2021, Aegon amended its agreement related to the investment in MAG Seguros and injected EUR 40 million
\n
in the undertaking. Following the amendment the investment required reclassification from Investments in associates
\n
to Investments in joint ventures as the level of influence was affected. The transfer to / (from) other headings in 2021 reflect
\n
the carrying amount of the investment of EUR 58 million prior to the capital injection of EUR 40 million.
\n
With the exception of a limited number of immaterial venture capital entities, all joint ventures and associates are unlisted
\n
and are accounted for using the equity method and are considered to be non-current. The investments in joint ventures and
\n
associates include interest in insurance companies that are required to maintain a minimum solvency margin based on local
\n
directives. Such restrictions can affect the ability of these joint ventures and associates to transfer funds in the form of cash
\n
dividends, or repayment of loans or advances, and therefore, there can be no assurance that these restrictions will not become
\n
a limitation in the future. Refer to note 45 Commitments and contingencies for any commitments and contingencies related
\n
to investments in joint ventures. There are no unrecognized shares of losses in joint ventures and associates. The financial
\n
statements of the principal joint ventures and associates have the same reporting date as the Group. Refer to note 49 Group
\n
companies for a listing of the investments in joint ventures and associates and the Group\u2019s percentage holding.
Summarized financial information of joint ventures
\n
The summarized financial information presented in the following table presents the joint ventures on a 100% basis. Aegon
\n
considers its investments in Santander Vida Seguros y Reaseguros S.A. ('Santander Spain Life') and Aegon Industrial Fund
\n
Management Co.Ltd. ('AIFMC') as material joint ventures and are therefore presented separately.
\n
Santander Spain Life
AIFMC
Other Joint ventures
\n
2022
2021
2022
2021
2022
2021
\n
Summarized statement of financial position
\n
Cash and cash equivalents
23
20
392
351
99
157
\n
Other current assets
155
130
836
810
725
697
\n
Total current assets
178
150
1,229
1,161
824
854
\n
Non-current assets
1,109
1,134
200
204
5,349
5,574
\n
Total assets
1,287
1,284
1,429
1,364
6,173
6,428
\n
Current financial liabilities excluding trade
\n
payables and other provisions
-
-
-
-
-
7
\n
Other current liabilities
148
126
526
613
543
501
\n
Total current liabilities
148
126
526
613
544
509
\n
Non-current financial liabilities excluding trade
\n
payables and other provisions
-
-
-
-
67
183
\n
Other non-current liabilities
504
510
-
-
4,447
3,921
\n
Total non-current financial liabilities
504
510
-
-
4,515
4,104
\n
Total liabilities
652
636
526
613
5,059
4,613
\n
Net assets
635
648
903
752
1,114
1,816
\n
Summarized statement of comprehensive
\n
income
\n
Revenue
288
247
644
858
2,374
1,866
\n
Results from financial transactions
-
-
-
-
(2)
51
\n
Depreciation and amortization
(30)
(25)
(4)
(3)
(27)
(21)
\n
Interest income
2
2
9
8
104
25
\n
Interest expense
-
-
(0)
-
(7)
(13)
\n
Profit or loss
71
61
330
386
260
247
\n
Income tax (expense) or result
(16)
(12)
(92)
(109)
(56)
(40)
\n
Post-tax profit or (loss)
55
48
238
277
205
208
\n
Other comprehensive income
(37)
(2)
-
-
(86)
53
\n
Total comprehensive income
18
47
238
277
118
260
\n
Dividends received
30
-
-
-
54
18
\n
An overview of the summarized financial information of the carrying amount of the joint ventures is as follows:
\n
Santander Spain Life
AIFMC
Other Joint ventures
\n
2022
2021
2022
2021
2022
2021
\n
Net assets of joint venture as presented
\n
above
635
648
903
752
1,114
1,816
\n
Net assets of joint venture excluding goodwill
556
568
960
751
1,019
1,681
\n
Group share of net assets of joint venture,
\n
excluding goodwill
283
290
471
368
513
857
\n
Goodwill on acquisition
80
80
1
1
95
148
\n
Carrying amount
363
369
471
369
608
1,005
\n
Aegon\u2019s group share of net assets of joint ventures, as presented in the table above, is less than Aegon\u2019s share of the net assets
\n
as presented in the summarized financial information on a 100% basis, due to the inclusion of third parties in the joint ventures.
The following table includes the summarized financial information of the joint ventures based on the Group\u2019s relative holding.
\n
Santander Spain Life
AIFMC
Other Joint ventures
\n
2022
2021
2022
2021
2022
2021
\n
Post-tax profit or loss
28
25
116
136
104
104
\n
Other comprehensive income
(19)
(1)
-
-
(44)
26
\n
Total comprehensive income
9
24
116
136
61
131
Investments in associates
\n
The principal investments in associates are listed by geographical segment. The voting powers in these associates is equal
\n
to the shareholdings, unless stated otherwise.
\n
The Netherlands (classified as disposal group)
\n
\u2022
\n
AMVEST Residential Core Fund, Amsterdam (29%)
\n
\u2022
\n
N.V. Levensverzekeringmaatschappij 'De Hoop', The Hague (33%)
\n
\u2022
\n
OB Capital Cooperatief U.A., Amsterdam (95%)
\n
International
\n
\u2022
\n
Aegon Life Insurance Co. ltd (India) (49%; Aegon does not have joint control of the company)
\n
Asset Management
\n
\u2022
\n
La Banque Postale Asset Management, Paris (France) (25%)
Refer to note 25 Investments in joint ventures and associates for further details on these investments. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfJointVenturesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f32260": {
"value": "28 Other assets and receivables
Note
2022
2021
\n
Real estate held for own use and equipment
28.1
324
455
\n
Receivables
28.2
8,880
5,622
\n
Accrued income
28.3
843
1,366
\n
Right-of-use assets
28.4
158
199
\n
At December 31
10,204
7,642
\n
28.1 Real estate held for own use and equipment
\n
Total real estate held for own use and equipment
2022
2021
\n
General account real estate held for own use
73
185
\n
Equipment
251
270
\n
At December 31
324
455
\n
Aegon Integrated Annual Report
2022 |
233
\n
Notes to the consolidated financial statements
Note 27
\n
\n
General account real estate held for own use
2022
2021
\n
Net book value
\n
At January 1
185
209
\n
Additions
-
-
\n
Capitalized subsequent expenditure
1
7
\n
Disposals
(32)
-
\n
Transfer to investments in real estate
(5)
(14)
\n
Unrealized gains/(losses) through equity
(1)
(4)
\n
Realized gains/(losses) through income statement
(0)
-
\n
Depreciation through income statement
(4)
(5)
\n
Impairment losses
(0)
(13)
\n
Net exchange differences
4
5
\n
Transfers from disposal groups
(76)
-
\n
Other
1
-
\n
At December 31
73
185
\n
Gross carrying value
95
218
\n
Accumulated depreciation and impairment losses
(23)
(33)
\n
Net book value
73
185
\n
General account real estate held for own use:
\n
Carrying amount under a historical cost model
72
165
\n
% of real estate appraised in the current year
7%
50%
\n
% of appraisals performed by independent external appraisers
100%
100%
\n
The decrease in Real estate held for own use and equipment in 2022 is mainly the result of the classification of Aegon
\n
the Netherlands as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
General account real estate held for own use has not been pledged as security for liabilities, nor are there any restrictions
\n
on title. Depreciation expenses are recorded in Commissions and expenses in the income statement. The useful lives
\n
of buildings range between 40 and 50 years.
\n
Equipment
2022
2021
\n
Net book value
\n
At January 1
270
263
\n
Additions
72
69
\n
Disposals
(5)
(2)
\n
Depreciation through income statement
(71)
(71)
\n
Impairment losses
(2)
(4)
\n
Net exchange differences
13
16
\n
Transfers to disposal groups
(27)
-
\n
Other
2
(1)
\n
At December 31
251
270
\n
Gross carrying value
636
679
\n
Accumulated depreciation and impairment losses
(386)
(409)
\n
Net book value
251
270
\n
None of the equipment is held for lease (2021: none). Equipment has not been pledged as security for liabilities, nor are there
\n
any restrictions on title. Depreciation expenses have been recorded in Commissions and expenses in the income statement.
\n
Equipment is generally depreciated over a period of three to five years.
\n
|
Aegon Integrated Annual Report
2022
234
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
28.2 Receivables
\n
2022
2021
\n
Loans to associates
8
8
\n
Receivables from policyholders
647
691
\n
Receivables from brokers and agents
376
310
\n
Receivables from reinsurers
723
750
\n
Cash outstanding from assets sold
134
160
\n
Trade receivables
881
1,393
\n
Cash collateral
3,372
314
\n
Income tax receivable
277
229
\n
Other
2,597
1,885
\n
Provision for doubtful debts
(134)
(120)
\n
At December 31
8,880
5,622
\n
Current
8,866
5,600
\n
Non-current
13
21
\n
With the exception of receivables from reinsurers, the receivables balances presented above are mostly not externally rated.
\n
The increase in cash collateral at December 31, 2022 compared to December 31, 2021 is mainly the result of increased
\n
interest rates in 2022.
\n
The movements in the provision for doubtful debts during the year were as follows:
\n
2022
2021
\n
At January 1
(120)
(88)
\n
Additions charged to earnings
(19)
(33)
\n
Unused amounts reversed through the income statement
3
5
\n
Disposal of business
3
-
\n
Used during the year
2
3
\n
Transfers to disposal groups
4
-
\n
Net exchange differences
(6)
(6)
\n
At December 31
(134)
(120)
\n
28.3 Accrued income
\n
2022
2021
\n
Accrued interest
842
1,363
\n
Other
1
3
\n
At December 31
843
1,366
\n
Current
842
1,366
\n
Non-current
-
-
\n
Aegon Integrated Annual Report
2022 |
235
\n
Notes to the consolidated financial statements
Note 28
28.4 Right-of-use assets
\n
Real estate for own use
Equipment
Other
Total
\n
Net book value
\n
At January 1, 2022
182
14
3
199
\n
Additions
24
10
1
34
\n
Disposals
(8)
-
-
(8)
\n
Modification of lease contracts
3
-
-
3
\n
Depreciation through income statement
(29)
(10)
(1)
(41)
\n
Transfers from disposal groups
(28)
-
-
(28)
\n
Net exchange differences
(2)
1
(0)
(2)
\n
Other
2
(0)
(1)
1
\n
At December 31, 2022
143
14
1
158
\n
Gross carrying value
256
35
4
295
\n
Accumulated depreciation and impairment losses
(113)
(21)
(3)
(138)
\n
Net book value 2022
143
14
1
158
\n
Net book value
\n
At January 1, 2021
193
15
3
211
\n
Additions
12
9
2
23
\n
Disposals
(14)
(0)
-
(14)
\n
Modification of lease contracts
17
-
-
17
\n
Depreciation through income statement
(36)
(11)
(2)
(49)
\n
Net exchange differences
10
1
(1)
10
\n
At December 31, 2021
182
14
3
199
\n
Gross carrying value
287
43
8
339
\n
Accumulated depreciation and impairment losses
(105)
(29)
(6)
(140)
\n
Net book value 2021
182
14
3
199
\n
Right-of-use assets are mainly held by Aegon UK and Aegon Americas and they are mainly office buildings held for own use.
\n
For information on the Lease liabilities and respective maturity analysis, please refer to note 41 Other liabilities and note
\n4 Financial risks, respectively.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfOtherAssetsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f32447": {
"value": "28.2 Receivables
2022
2021
\n
Loans to associates
8
8
\n
Receivables from policyholders
647
691
\n
Receivables from brokers and agents
376
310
\n
Receivables from reinsurers
723
750
\n
Cash outstanding from assets sold
134
160
\n
Trade receivables
881
1,393
\n
Cash collateral
3,372
314
\n
Income tax receivable
277
229
\n
Other
2,597
1,885
\n
Provision for doubtful debts
(134)
(120)
\n
At December 31
8,880
5,622
\n
Current
8,866
5,600
\n
Non-current
13
21
\n
With the exception of receivables from reinsurers, the receivables balances presented above are mostly not externally rated.
\n
The increase in cash collateral at December 31, 2022 compared to December 31, 2021 is mainly the result of increased
\n
interest rates in 2022.
\n
The movements in the provision for doubtful debts during the year were as follows:
\n
2022
2021
\n
At January 1
(120)
(88)
\n
Additions charged to earnings
(19)
(33)
\n
Unused amounts reversed through the income statement
3
5
\n
Disposal of business
3
-
\n
Used during the year
2
3
\n
Transfers to disposal groups
4
-
\n
Net exchange differences
(6)
(6)
\n
At December 31
(134)
(120)",
"dimensions": {
"concept": "ifrs-full:DisclosureOfTradeAndOtherReceivablesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f32556": {
"value": "28.4 Right-of-use assets
Real estate for own use
Equipment
Other
Total
\n
Net book value
\n
At January 1, 2022
182
14
3
199
\n
Additions
24
10
1
34
\n
Disposals
(8)
-
-
(8)
\n
Modification of lease contracts
3
-
-
3
\n
Depreciation through income statement
(29)
(10)
(1)
(41)
\n
Transfers from disposal groups
(28)
-
-
(28)
\n
Net exchange differences
(2)
1
(0)
(2)
\n
Other
2
(0)
(1)
1
\n
At December 31, 2022
143
14
1
158
\n
Gross carrying value
256
35
4
295
\n
Accumulated depreciation and impairment losses
(113)
(21)
(3)
(138)
\n
Net book value 2022
143
14
1
158
\n
Net book value
\n
At January 1, 2021
193
15
3
211
\n
Additions
12
9
2
23
\n
Disposals
(14)
(0)
-
(14)
\n
Modification of lease contracts
17
-
-
17
\n
Depreciation through income statement
(36)
(11)
(2)
(49)
\n
Net exchange differences
10
1
(1)
10
\n
At December 31, 2021
182
14
3
199
\n
Gross carrying value
287
43
8
339
\n
Accumulated depreciation and impairment losses
(105)
(29)
(6)
(140)
\n
Net book value 2021
182
14
3
199
\n
Right-of-use assets are mainly held by Aegon UK and Aegon Americas and they are mainly office buildings held for own use.
\n
For information on the Lease liabilities and respective maturity analysis, please refer to note 41 Other liabilities and note
\n4 Financial risks, respectively.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfQuantitativeInformationAboutRightofuseAssetsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f32557": {
"value": "28.4 Right-of-use assets
Real estate for own use
Equipment
Other
Total
\n
Net book value
\n
At January 1, 2022
182
14
3
199
\n
Additions
24
10
1
34
\n
Disposals
(8)
-
-
(8)
\n
Modification of lease contracts
3
-
-
3
\n
Depreciation through income statement
(29)
(10)
(1)
(41)
\n
Transfers from disposal groups
(28)
-
-
(28)
\n
Net exchange differences
(2)
1
(0)
(2)
\n
Other
2
(0)
(1)
1
\n
At December 31, 2022
143
14
1
158
\n
Gross carrying value
256
35
4
295
\n
Accumulated depreciation and impairment losses
(113)
(21)
(3)
(138)
\n
Net book value 2022
143
14
1
158
\n
Net book value
\n
At January 1, 2021
193
15
3
211
\n
Additions
12
9
2
23
\n
Disposals
(14)
(0)
-
(14)
\n
Modification of lease contracts
17
-
-
17
\n
Depreciation through income statement
(36)
(11)
(2)
(49)
\n
Net exchange differences
10
1
(1)
10
\n
At December 31, 2021
182
14
3
199
\n
Gross carrying value
287
43
8
339
\n
Accumulated depreciation and impairment losses
(105)
(29)
(6)
(140)
\n
Net book value 2021
182
14
3
199
\n
Right-of-use assets are mainly held by Aegon UK and Aegon Americas and they are mainly office buildings held for own use.
\n
For information on the Lease liabilities and respective maturity analysis, please refer to note 41 Other liabilities and note
\n
4 Financial risks, respectively.
Future lease payments
\n
< 1 year
\n
amounts
\n
1 < 2 years
\n
amounts
\n
2 < 3 years
\n
amounts
\n
3 < 4 years
\n
amounts
\n
4 < 5 years
\n
amounts
\n
> 5 years
\n
amounts
\n
2022
\n
Operating lease rights
10
9
7
7
6
17
\n
2021
\n
Operating lease rights
8
8
6
5
5
21
\n
The operating lease rights relate to non-cancellable commercial property leases.
",
"dimensions": {
"concept": "ifrs-full:DisclosureOfLeasesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f32702": {
"value": "29 Intangible assets
Goodwill
VOBA
\n
Future
\n
servicing
\n
rights
Software
Other
Total
\n
Net book value
\n
At January 1, 2022
391
750
65
83
44
1,333
\n
Additions
-
-
-
20
6
26
\n
Amortization through income statement
-
(97)
(9)
(16)
(5)
(127)
\n
Impairment losses
-
-
-
-
-
-
\n
Shadow accounting adjustments
-
126
-
-
-
126
\n
Business combinations, disposals and other
\n
changes
11
-
(1)
(26)
16
(0)
\n
Net exchange differences
10
44
-
(3)
(4)
47
\n
Transfers to disposal groups
(97)
-
-
(37)
(32)
(165)
\n
At December 31, 2022
316
821
56
21
25
1,240
\n
Gross carrying value
487
7,231
347
85
128
8,278
\n
Accumulated amortization, depreciation and
\n
impairment losses
(171)
(6,409)
(291)
(64)
(102)
(7,038)
\n
Net book value 2022
316
821
56
21
25
1,240
\n
Net book value
\n
At January 1, 2021
375
815
71
79
45
1,386
\n
Additions
-
-
-
25
3
29
\n
Amortization through income statement
-
(163)
(8)
(20)
(4)
(194)
\n
Impairment losses
-
-
-
(7)
(1)
(8)
\n
Shadow accounting adjustments
-
41
-
-
-
41
\n
Capital expenditure
-
-
-
14
-
14
\n
Business combinations, disposals and other
\n
changes
-
-
-
(7)
1
(6)
\n
Net exchange differences
16
57
1
(1)
(1)
72
\n
At December 31, 2021
391
750
65
83
44
1,333
\n
Gross carrying value
561
6,923
350
408
185
8,427
\n
Accumulated amortization, depreciation and
\n
impairment losses
(169)
(6,174)
(285)
(325)
(141)
(7,094)
\n
Net book value 2021
391
750
65
83
44
1,333
\n
The decrease in Intangible assets in 2022 is mainly the result of the classification of Aegon the Netherlands as held for sale
\n
and discontinued operations, refer to note 51 Discontinued operations.
\n
Amortization and depreciation through income statement is included in Commissions and expenses. None of the intangible
\n
assets have titles that are restricted or have been pledged as security for liabilities.
\n
With the exception of goodwill, all intangible assets have a finite useful life and are amortized accordingly. VOBA and future
\n
servicing rights are amortized over the term of the related insurance contracts, which can vary significantly depending
\n
on the maturity of the acquired portfolio. The amortization is based on either the expected future premiums, revenues
\n
or the expected gross profit margins, which for the most significant blocks of business ranges between 50 and 80 years.
\n
Future servicing rights are amortized over a period of 10 to 30 years of which 12 years remain at December 31, 2022 (2021:
\n13 years). Software is generally depreciated over an average period of 3 to 5 years (no changes compared to 2021). ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfIntangibleAssetsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f32703": {
"value": "29 Intangible assets
Goodwill
VOBA
\n
Future
\n
servicing
\n
rights
Software
Other
Total
\n
Net book value
\n
At January 1, 2022
391
750
65
83
44
1,333
\n
Additions
-
-
-
20
6
26
\n
Amortization through income statement
-
(97)
(9)
(16)
(5)
(127)
\n
Impairment losses
-
-
-
-
-
-
\n
Shadow accounting adjustments
-
126
-
-
-
126
\n
Business combinations, disposals and other
\n
changes
11
-
(1)
(26)
16
(0)
\n
Net exchange differences
10
44
-
(3)
(4)
47
\n
Transfers to disposal groups
(97)
-
-
(37)
(32)
(165)
\n
At December 31, 2022
316
821
56
21
25
1,240
\n
Gross carrying value
487
7,231
347
85
128
8,278
\n
Accumulated amortization, depreciation and
\n
impairment losses
(171)
(6,409)
(291)
(64)
(102)
(7,038)
\n
Net book value 2022
316
821
56
21
25
1,240
\n
Net book value
\n
At January 1, 2021
375
815
71
79
45
1,386
\n
Additions
-
-
-
25
3
29
\n
Amortization through income statement
-
(163)
(8)
(20)
(4)
(194)
\n
Impairment losses
-
-
-
(7)
(1)
(8)
\n
Shadow accounting adjustments
-
41
-
-
-
41
\n
Capital expenditure
-
-
-
14
-
14
\n
Business combinations, disposals and other
\n
changes
-
-
-
(7)
1
(6)
\n
Net exchange differences
16
57
1
(1)
(1)
72
\n
At December 31, 2021
391
750
65
83
44
1,333
\n
Gross carrying value
561
6,923
350
408
185
8,427
\n
Accumulated amortization, depreciation and
\n
impairment losses
(169)
(6,174)
(285)
(325)
(141)
(7,094)
\n
Net book value 2021
391
750
65
83
44
1,333
\n
The decrease in Intangible assets in 2022 is mainly the result of the classification of Aegon the Netherlands as held for sale
\n
and discontinued operations, refer to note 51 Discontinued operations.
\n
Amortization and depreciation through income statement is included in Commissions and expenses. None of the intangible
\n
assets have titles that are restricted or have been pledged as security for liabilities.
\n
With the exception of goodwill, all intangible assets have a finite useful life and are amortized accordingly. VOBA and future
\n
servicing rights are amortized over the term of the related insurance contracts, which can vary significantly depending
\n
on the maturity of the acquired portfolio. The amortization is based on either the expected future premiums, revenues
\n
or the expected gross profit margins, which for the most significant blocks of business ranges between 50 and 80 years.
\n
Future servicing rights are amortized over a period of 10 to 30 years of which 12 years remain at December 31, 2022 (2021:
\n
13 years). Software is generally depreciated over an average period of 3 to 5 years (no changes compared to 2021).
\n
Goodwill
\n
The goodwill balance has been allocated across the cash-generating units which are expected to benefit from the synergies
\n
inherent in the goodwill. Goodwill is tested for impairment both annually and when there are specific indicators of a potential
\n
impairment. The recoverable amount is the higher of the value in use and fair value less costs of disposal for a cash-generating
\n
unit. The operating assumptions used in all the calculations are best estimate assumptions and based on historical data
\n
where available.
\n
Aegon Integrated Annual Report
2022 |
237
\n
Notes to the consolidated financial statements
Note 29
The economic assumptions used in all the calculations are based on observable market data and projections of future trends.
\n
All the cash-generating units tested showed that the recoverable amount was higher than their carrying values, including
\n
goodwill. A reasonably possible change in any key assumption is not expected to cause the carrying value of the cash-
\n
generating units to exceed its recoverable amount.
\n
A geographical summary of the cash-generating units to which the goodwill is allocated is as follows:
\n
Goodwill
2022
2021
\n
Americas
208
181
\n
The Netherlands
-
97
\n
United Kingdom
54
57
\n
International
18
23
\n
Asset Management
35
33
\n
At December 31
316
391
\n
Within the Americas, Transamerica's goodwill is allocated to groups of cash-generating units including variable annuities,
\n
fixed annuities and the retirement plans cash-generating unit. Transamerica uses the value in use concept to determine
\n
the recoverable amount and it is calculated annually in the fourth quarter. Transamerica reviewed the recoverable amount
\n
of the annuities and retirement plan cash-generating units under the Economic Available Capital (EAC) approach. This approach
\n
measures the difference between the market value of assets assigned to a block of business and the market value of liabilities.
\n
The EAC is reflective of market conditions where a pre-tax benchmark discount rate ranged from approximately 3.13% to 3.65%
\n
from the one month to 30-year tenors. Based on the value in use tests, Transamerica's goodwill for the group of annuities
\n
cash-generating units (2022: EUR 133 million: 2021: EUR 125 million) remains unchanged from prior year except for the impact
\n
of currency translation adjustments. Transmerica\u2019s goodwill for the retirement plans cash generating unit increased in 2022
\n
due to the TAG Resources, LLC (TAG) acquisition bringing the total goodwill allocated to the retirement plans cash generating
\nunit to EUR 75 million (2021: EUR 56 million). ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfIntangibleAssetsAndGoodwillExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f32900": {
"value": "Goodwill
The goodwill balance has been allocated across the cash-generating units which are expected to benefit from the synergies
\n
inherent in the goodwill. Goodwill is tested for impairment both annually and when there are specific indicators of a potential
\n
impairment. The recoverable amount is the higher of the value in use and fair value less costs of disposal for a cash-generating
\n
unit. The operating assumptions used in all the calculations are best estimate assumptions and based on historical data
\n
where available.
\n
Aegon Integrated Annual Report
2022 |
237
\n
Notes to the consolidated financial statements
Note 29
The economic assumptions used in all the calculations are based on observable market data and projections of future trends.
\n
All the cash-generating units tested showed that the recoverable amount was higher than their carrying values, including
\n
goodwill. A reasonably possible change in any key assumption is not expected to cause the carrying value of the cash-
\n
generating units to exceed its recoverable amount.
\n
A geographical summary of the cash-generating units to which the goodwill is allocated is as follows:
\n
Goodwill
2022
2021
\n
Americas
208
181
\n
The Netherlands
-
97
\n
United Kingdom
54
57
\n
International
18
23
\n
Asset Management
35
33
\n
At December 31
316
391
\n
Within the Americas, Transamerica's goodwill is allocated to groups of cash-generating units including variable annuities,
\n
fixed annuities and the retirement plans cash-generating unit. Transamerica uses the value in use concept to determine
\n
the recoverable amount and it is calculated annually in the fourth quarter. Transamerica reviewed the recoverable amount
\n
of the annuities and retirement plan cash-generating units under the Economic Available Capital (EAC) approach. This approach
\n
measures the difference between the market value of assets assigned to a block of business and the market value of liabilities.
\n
The EAC is reflective of market conditions where a pre-tax benchmark discount rate ranged from approximately 3.13% to 3.65%
\n
from the one month to 30-year tenors. Based on the value in use tests, Transamerica's goodwill for the group of annuities
\n
cash-generating units (2022: EUR 133 million: 2021: EUR 125 million) remains unchanged from prior year except for the impact
\n
of currency translation adjustments. Transmerica\u2019s goodwill for the retirement plans cash generating unit increased in 2022
\n
due to the TAG Resources, LLC (TAG) acquisition bringing the total goodwill allocated to the retirement plans cash generating
\nunit to EUR 75 million (2021: EUR 56 million). ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfGoodwillExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f32967": {
"value": "30 Shareholders\u2019 equity
Issued share capital and reserves attributable to shareholders of Aegon N.V.
\n
Note
2022
2021
2020
\n
Share capital \u2013 par value
30.1
319
321
320
\n
Share premium
30.2
6,853
7,033
7,160
\n
Total share capital
7,172
7,354
7,480
\n
Retained earnings
9,989
12,635
11,124
\n
Treasury shares
30.3
(676)
(273)
(181)
\n
Total retained earnings
9,313
12,362
10,943
\n
Revaluation reserves
\n
1)
\n
30.4
(4,477)
6,442
7,480
\n
Remeasurement of defined benefit plans
\n
2)
\n
30.5
(1,565)
(2,199)
(2,534)
\n
Other reserves
\n
3)
\n
30.6
997
325
(553)
\n
Total shareholders' equity
11,440
24,282
22,815
\n
1
\n
Included in the 2022 Revaluation reserves is an amount of EUR (676) million relating to Aegon the Netherlands classification as discontinued operations, refer to
\n
note 51 Discontinued operations
\n
2
\n
Included in the 2022 Remeasurement of defined benefit plans is an amount of EUR (624) million relating to Aegon the Netherlands classification as discontinued
\n
operations, refer to note 51 Discontinued operations
\n
3
\n
Included in the 2022 Other reserves is an amount of EUR 14 million relating to Aegon the Netherlands classification as discontinued operations, refer to note 51
\n
Discontinued operations
\n
|
Aegon Integrated Annual Report
2022
238
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Share capital transactions relating to common shares
\n
2022
2021
2020
\n
Number of shares
\n
(thousands)
\n
Number of shares
\n
(thousands)
\n
Number of shares
\n
(thousands)
\n
Transactions in 2022:
\n
Final dividend 2021
\n
1)
\n
(18,676)
\n
Share buyback program (final dividend 2021)
24,364
\n
Interim dividend 2022
\n
1)
\n
(21,365)
\n
Share buyback program (interim dividend 2022)
29,833
\n
Transactions in 2021:
\n
Final dividend 2020
\n
1)
\n
(15,274)
\n
Share buyback program (final dividend 2020)
19,452
\n
Interim dividend 2021
\n
1)
\n
(17,314)
\n
Share buyback program (interim dividend 2021)
21,532
\n
Transactions in 2020:
\n
Interim dividend 2020
\n
1)
\n
(22,947)
\n
Share buyback program (interim dividend 2020)
24,029
\n
1
\n
Dividend distribution paid from treasury shares (note 30.3)
\n
In 2023, Aegon executed a program to repurchase 8,516,263 common shares for an amount of EUR 42.5 million to meet its
\n
obligations resulting from the share-based compensation plans for senior management. Between January 6, 2023 and January
\n
30, 2023, these common shares were repurchased at an average price of EUR 5.00 per share.
\n
30.1 Share capital \u2013 par value
\n
2022
2021
2020
\n
Common shares
253
253
252
\n
Common shares B
66
68
69
\n
At December 31
319
321
320
\n
Common shares
2022
2021
2020
\n
Authorized share capital
720
720
720
\n
Number of authorized shares (in million)
6,000
6,000
6,000
\n
Par value in cents per share
12
12
12
\n
Common shares B
2022
2021
2020
\n
Authorized share capital
360
360
360
\n
Number of authorized shares (in million)
3,000
3,000
3,000
\n
Par value in cents per share
12
12
12
\n
Common shares
Common shares B
\n
Number of shares (thousands)
Total amount
Number of shares (thousands)
Total amount
\n
At January 1, 2020
2,105,139
253
585,022
70
\n
Shares withdrawn
(9,491)
(1)
(13,227)
(2)
\n
Dividend
2,466
-
-
-
\n
At December 31, 2020
2,098,114
252
571,795
69
\n
Shares withdrawn
(2,466)
(0)
(2,956)
(0)
\n
Dividend
10,665
1
-
-
\n
At December 31, 2021
2,106,313
253
568,839
68
\n
Shares withdrawn
(10,665)
(1)
(22,643)
(3)
\n
Dividend
13,782
2
-
-
\n
At December 31, 2022
2,109,430
253
546,196
66
\n
Aegon Integrated Annual Report
2022 |
239
\n
Notes to the consolidated financial statements
Note 30
The common shares and common shares B withdrawn in 2022 are the result of the cancellation of 10,664,951 and 22,643,360
\n
shares, respectively, following the repurchase by the Company in connection with the share buyback program. This share buy
\n
back program was executed following the 2021 interim dividend distribution in order to reduce the number of own shares, which
\n
are not used to cover obligations arising from share-based incentive plans or other obligations.
\n
The table below represents weighted average number of common shares including treasury shares attributable to Aegon N.V.:
\n
Weighted average number of
\n
common shares (thousands)
\n
Weighted average number of
\n
common shares B (thousands)
\n
2020
2,101,749
579,312
\n
2021
2,101,231
570,629
\n
2022
2,107,315
559,906
\n
All issued common shares and common shares B each have a nominal value of EUR 0.12 and are fully paid up. Repayment
\n
of capital can only be initiated by the Executive Board, is subject to approval of the Supervisory Board and must be resolved
\n
by the General Meeting of Shareholders. Moreover, repayment on common shares B needs approval of the related
\n
shareholders. Refer to 'Other information' for further information on dividend rights.
\n
Vereniging Aegon, based in The Hague, the Netherlands, holds all of the issued and outstanding common shares B.
\n
Under the terms of the 1983 Amended Merger Agreement, dated May 2013, Vereniging Aegon has a call option relating
\n
to common shares B. Vereniging Aegon may exercise its call option at fair value of a common share B (being 1/40
\n
th
\n
of the market value of a common share in the capital of the Company at the time of issuance) to keep or restore its total stake
\n
at 32.6%, irrespective of the circumstances which cause the total shareholding to be or become lower than 32.6%. Refer
\n
to note 50 Related party transactions for transactions between Aegon N.V. and Vereniging Aegon.
\n
30.2 Share premium
\n
2022
2021
2020
\n
At January 1
7,033
7,160
7,213
\n
Share dividend
(180)
(127)
(54)
\n
At December 31
6,853
7,033
7,160
\n
Share premium relating to:
\n
- Common shares
5,200
5,380
5,507
\n
- Common shares B
1,653
1,653
1,653
\n
Total share premium
6,853
7,033
7,160
\n
The share premium account reflects the balance of paid-in amounts above par value at issuance of new shares less
\n
the amounts charged for share dividends.
\n
|
Aegon Integrated Annual Report
2022
240
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
30.3 Treasury shares
\n
On the reporting date, Aegon N.V. and its subsidiaries held 146,606,837 (2021: 71,780,196) of its own common shares and
\n
51,762,840 (2021: 30,588,800) own common shares B with a par value of EUR 0.12 each.
\n
Movements in the number of treasury common shares held by Aegon N.V. were as follows:
\n
2022
2021
2020
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
At January 1
70,958
262
52,686
171
65,540
269
\n
Transactions in 2022:
\n
Purchase: 1 transaction, average price EUR 4.92
10,158
50
\n
Sale: 3 transactions, average price EUR 2.46
(4,708)
(12)
\n
Sale: 1 transaction, average price EUR 3.12
(18,676)
(58)
\n
Purchase: 1 transaction, average price EUR 4.38
24,364
107
\n
Share withdrawn: 1 transaction, average price
\n
EUR 3.70
(10,665)
(39)
\n
Sale: 1 transaction, average price EUR 3.91
(21,365)
(84)
\n
Purchase: 1 transaction, average price EUR 4.49
29,833
134
\n
Purchase: 3 transactions, average price EUR 4.58
65,921
302
\n
Transactions in 2021:
\n
Sale: transactions, average price 3.90
(4,139)
(16)
\n
Shares withdrawn: 1 transaction average price
\n
3.89
(2,466)
(10)
\n
Sale: 1 transaction, average price 3.89
(15,274)
(59)
\n
Purchase: 1 transaction average price 3.70
35,933
133
\n
Sale: 1 transaction, average price 3.02
(17,314)
(52)
\n
Purchase: 1 transaction average price 4.46
21,532
96
\n
Transactions in 2020:
\n
Sale: transactions, average price 4.52
(4,445)
(20)
\n
Shares withdrawn: 1 transaction average price
\n
4.52
(9,491)
(43)
\n
Sale: 1 transaction, average price 4.13
(22,947)
(95)
\n
Purchase: 1 transaction average price 2.46
24,029
59
\n
At December 31
145,821
662
70,958
262
52,686
171
\n
Aegon Integrated Annual Report
2022 |
241
\n
Notes to the consolidated financial statements
Note 30
Movements in the number of treasury common shares B held by Aegon N.V. were as follows:
\n
2022
2021
2020
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
At January 1
30,589
3
12,884
1
25,310
3
\n
Transactions in 2022:
\n
Share withdrawn: 1 transaction, average price
\n
EUR 0.10
(22,643)
(2)
\n
Purchase: 1 transaction, average price EUR 0.12
43,817
5
\n
Transactions in 2021:
\n
Sale: 1 transaction, average price 0.10
(1,983)
-
\n
Shares withdrawn: 1 transaction average price
\n
0.10
(2,956)
-
\n
Purchase: 1 transaction average price 0.10
22,643
2
\n
Transactions in 2020:
\n
Sale: 1 transaction, average price 0.13
(2,154)
-
\n
Shares withdrawn: 1 transaction average price
\n
0.13
(13,227)
(2)
\n
Purchase: 1 transaction average price 0.08
2,956
-
\n
At December 31
51,763
6
30,589
3
12,884
1
\n
As part of their insurance and investment operations, subsidiaries within the Group also hold Aegon N.V. common shares,
\n
both for their own account and for account of policyholders. These shares have been treated as treasury shares and are (de)
\n
recognized at the consideration paid or received.
\n
2022
2021
2020
\n
Number of shares
\n
(thousands)
Total amount
\n
Number of shares
\n
(thousands)
Total amount
\n
Number of shares
\n
(thousands)
Total amount
\n
Common shares
\n
Held by Aegon N.V.
145,821
662
70,958
262
52,686
171
\n
Held by subsidiaries
785
8
822
8
1,062
9
\n
Common shares B
\n
Held by Aegon N.V.
51,763
6
30,589
3
12,884
1
\n
At December 31
198,369
676
102,369
273
66,632
181
\n
Weighted average number of treasury
\n
shares, including treasury shares held
\n
by subsidiaries (thousands)
\n
Weighted average number of treasury
\n
shares B (thousands)
\n
2020
58,224
18,386
\n
2021
57,989
11,621
\n
2022
97,807
23,696
\n
|
Aegon Integrated Annual Report
2022
242
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
30.4 Revaluation reserves
\n
Available-for-sale
\n
investments
\n
Real estate held
\n
for own use
\n
Cash flow
\n
hedging reserve
Total
\n
At January 1, 2022
5,309
32
1,100
6,442
\n
Gross revaluation
(21,586)
(1)
(66)
(21,653)
\n
Shadow accounting adjustment
6,407
-
-
6,407
\n
Net (gains) / losses transferred to income statement
742
(16)
(126)
600
\n
Disposal of a business
14
-
-
14
\n
Foreign currency translation differences
413
(0)
74
487
\n
Tax effect
3,178
-
42
3,219
\n
Transfers to disposal groups
-
-
-
-
\n
Other
7
-
-
7
\n
At December 31, 2022
(5,516)
15
1,024
(4,477)
\n
At January 1, 2021
6,248
35
1,197
7,480
\n
Gross revaluation
(3,930)
(4)
(122)
(4,057)
\n
Shadow accounting adjustment
2,759
-
-
2,759
\n
Net (gains) / losses transferred to income statement
(450)
-
(106)
(556)
\n
Foreign currency translation differences
362
1
84
447
\n
Tax effect
322
1
47
370
\n
Other
(1)
-
-
(1)
\n
At December 31, 2021
5,309
32
1,100
6,442
\n
At January 1, 2020
4,352
19
1,502
5,873
\n
Gross revaluation
5,728
20
(141)
5,607
\n
Shadow accounting adjustment
(2,738)
-
-
(2,738)
\n
Net (gains) / losses transferred to income statement
13
-
(106)
(94)
\n
Net (gains) / losses transferred to retained earnings
-
-
-
-
\n
Foreign currency translation differences
(443)
(2)
(111)
(556)
\n
Tax effect
(664)
(2)
54
(612)
\n
At December 31, 2020
6,248
35
1,197
7,480
\n
The revaluation accounts for both available-for-sale investments and for real estate held for own use include unrealized
\n
gains and losses on these investments, net of tax. Upon sale, the amounts realized are recognized in the income statement
\n
(for available-for-sale investments) or transferred to retained earnings (for real estate held for own use). Upon impairment,
\n
unrealized losses are recognized in the income statement.
\n
The closing balances of the revaluation reserve for available-for-sale investments relate to the following instruments:
\n
2022
2021
2020
\n
Shares
18
49
46
\n
Debt securities
(5,511)
5,276
6,218
\n
Other
(22)
(15)
(17)
\n
Revaluation reserve for available-for-sale investments
(5,516)
5,309
6,248
\n
The cash flow hedging reserve includes (un)realized gains and losses on the effective portions of hedging instruments, net
\n
of tax. The amounts are recognized in the income statement at the moment of realization of the hedged position to offset
\n
the gain or loss from the hedged cash flow. No amounts have been released from equity to be included in the initial
\n
measurement of non-financial assets or liabilities.
\n
Aegon Integrated Annual Report
2022 |
243
\n
Notes to the consolidated financial statements
Note 30
30.5 Remeasurement of defined benefit plans
\n
2022
2021
2020
\n
At January 1
(2,199)
(2,534)
(2,397)
\n
Remeasurements of defined benefit plans
904
501
(360)
\n
Tax effect
(250)
(102)
140
\n
Net exchange differences
(20)
(65)
83
\n
Total remeasurement of defined benefit plans
(1,565)
(2,199)
(2,534)
\n
30.6 Other reserves
\n
Foreign currency
\n
translation
\n
reserve
\n
Net foreign invest-
\n
ment hedging
\n
reserve
\n
Equity move-
\n
ments of joint
\n
ventures and
\n
associates
Total
\n
At January 1, 2022
596
(338)
67
325
\n
Movement in foreign currency translation and net foreign
\n
investment hedging reserves
710
(116)
-
594
\n
Disposal of a business
102
67
(18)
150
\n
Tax effect
(28)
16
-
(12)
\n
Equity movements of joint ventures
-
-
(63)
(63)
\n
Equity movements of associates
-
-
3
3
\n
Transfers to disposal groups
-
-
-
-
\n
At December 31, 2022
1,379
(371)
(11)
997
\n
At January 1, 2021
(403)
(199)
48
(554)
\n
Movement in foreign currency translation and net foreign
\n
investment hedging reserves
1,013
(165)
-
848
\n
Disposal of a business
10
(2)
-
8
\n
Tax effect
(24)
27
-
3
\n
Equity movements of joint ventures
-
-
25
25
\n
Equity movements of associates
-
-
(6)
(6)
\n
At December 31, 2021
596
(338)
67
325
\n
At January 1, 2020
799
(374)
31
456
\n
Movement in foreign currency translation and net foreign
\n
investment hedging reserves
(1,209)
195
-
(1,015)
\n
Disposal of a business
(5)
-
(2)
(7)
\n
Tax effect
12
(19)
-
(7)
\n
Equity movements of joint ventures
-
-
12
12
\n
Equity movements of associates
-
-
7
7
\n
At December 31, 2020
(402)
(199)
48
(553)
\n
The foreign currency translation reserve includes the currency results from investments in non-euro denominated subsidiaries.
\n
The amounts are released to the income statement upon the sale of the subsidiary.
\n
The net foreign investment hedging reserve is made up of gains and losses on the effective portions of hedging instruments,
\n
net of tax. The amounts are recognized in the income statement at the moment of realization of the hedged position to offset
\n
the gain or loss from the net foreign investment.
\n
The equity movements of joint ventures and associates reflect Aegon's share of changes recognized directly in the joint
\n
venture's and associate\u2019s equity.
\n
|
Aegon Integrated Annual Report
2022
244
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
31 Other equity instruments
\n
Perpetual
\n
contingent
\n
convertible
\n
securities
\n
Junior perpetual
\n
capital securities
\n
Perpetual
\n
cumulative
\n
subordinated
\n
bonds
\n
Long Term
\n
Incentive Plans
\n
1)
\n
Total
\n
At January 1, 2022
500
1,352
454
57
2,363
\n
Shares granted
-
-
-
32
32
\n
Shares vested
-
-
-
(23)
(23)
\n
Securities redeemed
-
(429)
-
-
(429)
\n
At December 31, 2022
500
923
454
66
1,943
\n
At January 1, 2021
500
1,564
454
50
2,569
\n
Shares granted
-
-
-
27
27
\n
Shares vested
-
-
-
(21)
(21)
\n
Securities redeemed
-
(212)
-
-
(212)
\n
At December 31, 2021
500
1,352
454
57
2,363
\n
At January 1, 2020
500
1,564
454
53
2,571
\n
Shares granted
-
-
-
22
22
\n
Shares vested
-
-
-
(25)
(25)
\n
At December 31, 2020
500
1,564
454
50
2,569
\n
1
\n
Long Term Incentive Plans include the shares granted to personnel which are not yet vested.
\n
Perpetual contingent convertible securities
Coupon rate
Coupon date
Year of next call
2022
2021
2020
\n
EUR 500 million
5.625%
\n
1)
\n
Semi-annually, April 15
2029
500
500
500
\n
At December 31
500
500
500
\n
1
\n
The coupon is fixed at 5.625% until the first call date and reset thereafter to a 5 year mid swap plus a margin of 5.207%.
\n
The securities have been issued at par and have subordination provisions, rank junior to all other liabilities and senior
\n
to shareholders' equity only. The conditions of the securities contain certain provisions for optional and required coupon
\n
payment cancelation. Although the securities have no stated maturity, Aegon has the right to call the securities for redemption
\n
at par for the first time between April 15, 2029 and October 15, 2029 and every reset date (October 15, with five year intervals)
\n
thereafter. Upon breach of certain regulatory capital requirement levels, the securities convert into common shares.
\n
Junior perpetual capital securities
Coupon rate
Coupon date
Year of next call
2022
2021
2020
\n
USD 250 million
floating LIBOR rate
\n
1)
\n
Quarterly, December 15
Called in 2021
-
-
212
\n
USD 500 million
floating CMS rate
\n
2)
\n
Quarterly, July 15
2023
402
402
402
\n
EUR 950 million
floating DSL rate
\n
3)
\n
Quarterly, July 15
2023
521
950
950
\n
At December 31
923
1,352
1,564
\n
1
\n
The coupon of the USD 250 million junior perpetual capital securities was reset each quarter based on the then prevailing three-month LIBOR yield plus a spread
\n
of 87.5 basis points, with a minimum of 4%.
\n
2
\n
The coupon of the USD 500 million junior perpetual capital securities is reset each quarter based on the then prevailing ten-year US dollar interest rate swap
\n
yield plus a spread of ten basis points, with a maximum of 8.5%.
\n
3
\n
The coupon of the EUR 950 million junior perpetual capital securities is reset each quarter based on the then prevailing ten-year Dutch government bond yield
\n
plus a spread of ten basis points, with a maximum of 8%.
\n
The interest rate exposure on some of these securities has been swapped to a three-month LIBOR and/or EURIBOR based yield.
\n
On April 5, 2022 Aegon completed a tender offer buying back EUR 429 million of perpetual capital securities, part
\n
of the EUR 950 million notes issued in 2004. Aegon bought back the securities at a purchase price of 90%. The gain realized
\n
on this tender offer amounts to EUR 43 million before tax and is recognized in retained earnings in 2022.
\n
With effect on September 15, 2021, Aegon has exercised its right to redeem USD 250 million floating rate perpetual capital
\n
securities with a minimum coupon of 4% issued in 2005. The securities had no stated maturity, however Aegon had the right
\n
to call the securities for redemption and exercised this right with effect on September 15, 2021.
\n
The securities have been issued at par. The securities have subordination provisions, rank junior to all other liabilities and
\n
senior to shareholders' equity only. The conditions of the securities contain certain provisions for optional and required
\n
Aegon Integrated Annual Report
2022 |
245
\n
Notes to the consolidated financial statements
Note 31
coupon payment deferral and, in situations under Aegon's control, mandatory coupon payment events. Although the securities
\n
have no stated maturity, Aegon has the right to call the securities for redemption at par for the first time on the coupon date
\n
in the years as specified, or on any coupon payment date thereafter.
\n
Perpetual cumulative subordinated bonds
Coupon rate
Coupon date
Year of next call
2022
2021
2020
\n
EUR 114 million
1.506%
\n
1),
4)
\n
Annually, June 8
2025
114
114
114
\n
EUR 136 million
1.425%
\n
2),
4)
\n
Annually, October 14
2028
136
136
136
\n
EUR 203 million
0.496%
\n
3),
4)
\n
Annually, March 4
2031
203
203
203
\n
At December 31
454
454
454
\n
1
\n
The coupon of the EUR 114 million bonds was originally set at 8% until June 8, 2005. Subsequently, the coupon has been reset at 4.156% until June 8, 2015 and
\n
1.506% until June 8, 2025.
\n
2
\n
The coupon of the EUR 136 million bonds was originally set at 7.25% until October 14, 2008. Subsequently, the coupon has been reset at 5.185% until October
\n
14, 2018 and 1.425% until October 14, 2028.
\n
3
\n
The coupon of the EUR 203 million bonds was originally set at 7.125% until March 4, 2011. Subsequently, the coupon has been reset at 4.26% until March 4,
\n
2021 and 0.496% until March 4, 2031.
\n
4
\n
If the bonds are not called on the respective call dates and after consecutive period of ten years, the coupons will be reset at the then prevailing effective yield of
\n
ten-year Dutch government securities plus a spread of 85 basis points.
\n
These bonds have the same subordination provisions as dated subordinated debt. In addition, the conditions of the bonds
\n
contain provisions for interest deferral.
\n
Although the bonds have no stated maturity, Aegon has the right to call the bonds for redemption at par for the first time
\non the coupon date in the year of next call.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfShareCapitalReservesAndOtherEquityInterestExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f33095": {
"value": "30.1 Share capital \u2013 par value
2022
2021
2020
\n
Common shares
253
253
252
\n
Common shares B
66
68
69
\n
At December 31
319
321
320
\n
Common shares
2022
2021
2020
\n
Authorized share capital
720
720
720
\n
Number of authorized shares (in million)
6,000
6,000
6,000
\n
Par value in cents per share
12
12
12
\n
Common shares B
2022
2021
2020
\n
Authorized share capital
360
360
360
\n
Number of authorized shares (in million)
3,000
3,000
3,000
\n
Par value in cents per share
12
12
12
\n
Common shares
Common shares B
\n
Number of shares (thousands)
Total amount
Number of shares (thousands)
Total amount
\n
At January 1, 2020
2,105,139
253
585,022
70
\n
Shares withdrawn
(9,491)
(1)
(13,227)
(2)
\n
Dividend
2,466
-
-
-
\n
At December 31, 2020
2,098,114
252
571,795
69
\n
Shares withdrawn
(2,466)
(0)
(2,956)
(0)
\n
Dividend
10,665
1
-
-
\n
At December 31, 2021
2,106,313
253
568,839
68
\n
Shares withdrawn
(10,665)
(1)
(22,643)
(3)
\n
Dividend
13,782
2
-
-
\n
At December 31, 2022
2,109,430
253
546,196
66
\n
Aegon Integrated Annual Report
2022 |
239
\n
Notes to the consolidated financial statements
Note 30
The common shares and common shares B withdrawn in 2022 are the result of the cancellation of 10,664,951 and 22,643,360
\n
shares, respectively, following the repurchase by the Company in connection with the share buyback program. This share buy
\n
back program was executed following the 2021 interim dividend distribution in order to reduce the number of own shares, which
\n
are not used to cover obligations arising from share-based incentive plans or other obligations.
\n
The table below represents weighted average number of common shares including treasury shares attributable to Aegon N.V.:
\n
Weighted average number of
\n
common shares (thousands)
\n
Weighted average number of
\n
common shares B (thousands)
\n
2020
2,101,749
579,312
\n
2021
2,101,231
570,629
\n
2022
2,107,315
559,906
\n
All issued common shares and common shares B each have a nominal value of EUR 0.12 and are fully paid up. Repayment
\n
of capital can only be initiated by the Executive Board, is subject to approval of the Supervisory Board and must be resolved
\n
by the General Meeting of Shareholders. Moreover, repayment on common shares B needs approval of the related
\n
shareholders. Refer to 'Other information' for further information on dividend rights.
\n
Vereniging Aegon, based in The Hague, the Netherlands, holds all of the issued and outstanding common shares B.
\n
Under the terms of the 1983 Amended Merger Agreement, dated May 2013, Vereniging Aegon has a call option relating
\n
to common shares B. Vereniging Aegon may exercise its call option at fair value of a common share B (being 1/40
\n
th
\n
of the market value of a common share in the capital of the Company at the time of issuance) to keep or restore its total stake
\n
at 32.6%, irrespective of the circumstances which cause the total shareholding to be or become lower than 32.6%. Refer
\nto note 50 Related party transactions for transactions between Aegon N.V. and Vereniging Aegon. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfIssuedCapitalExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f33299": {
"value": "30.3 Treasury shares
On the reporting date, Aegon N.V. and its subsidiaries held 146,606,837 (2021: 71,780,196) of its own common shares and
\n
51,762,840 (2021: 30,588,800) own common shares B with a par value of EUR 0.12 each.
\n
Movements in the number of treasury common shares held by Aegon N.V. were as follows:
\n
2022
2021
2020
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
At January 1
70,958
262
52,686
171
65,540
269
\n
Transactions in 2022:
\n
Purchase: 1 transaction, average price EUR 4.92
10,158
50
\n
Sale: 3 transactions, average price EUR 2.46
(4,708)
(12)
\n
Sale: 1 transaction, average price EUR 3.12
(18,676)
(58)
\n
Purchase: 1 transaction, average price EUR 4.38
24,364
107
\n
Share withdrawn: 1 transaction, average price
\n
EUR 3.70
(10,665)
(39)
\n
Sale: 1 transaction, average price EUR 3.91
(21,365)
(84)
\n
Purchase: 1 transaction, average price EUR 4.49
29,833
134
\n
Purchase: 3 transactions, average price EUR 4.58
65,921
302
\n
Transactions in 2021:
\n
Sale: transactions, average price 3.90
(4,139)
(16)
\n
Shares withdrawn: 1 transaction average price
\n
3.89
(2,466)
(10)
\n
Sale: 1 transaction, average price 3.89
(15,274)
(59)
\n
Purchase: 1 transaction average price 3.70
35,933
133
\n
Sale: 1 transaction, average price 3.02
(17,314)
(52)
\n
Purchase: 1 transaction average price 4.46
21,532
96
\n
Transactions in 2020:
\n
Sale: transactions, average price 4.52
(4,445)
(20)
\n
Shares withdrawn: 1 transaction average price
\n
4.52
(9,491)
(43)
\n
Sale: 1 transaction, average price 4.13
(22,947)
(95)
\n
Purchase: 1 transaction average price 2.46
24,029
59
\n
At December 31
145,821
662
70,958
262
52,686
171
\n
Aegon Integrated Annual Report
2022 |
241
\n
Notes to the consolidated financial statements
Note 30
Movements in the number of treasury common shares B held by Aegon N.V. were as follows:
\n
2022
2021
2020
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
Number of
\n
shares
\n
(thousands)
Amount
\n
At January 1
30,589
3
12,884
1
25,310
3
\n
Transactions in 2022:
\n
Share withdrawn: 1 transaction, average price
\n
EUR 0.10
(22,643)
(2)
\n
Purchase: 1 transaction, average price EUR 0.12
43,817
5
\n
Transactions in 2021:
\n
Sale: 1 transaction, average price 0.10
(1,983)
-
\n
Shares withdrawn: 1 transaction average price
\n
0.10
(2,956)
-
\n
Purchase: 1 transaction average price 0.10
22,643
2
\n
Transactions in 2020:
\n
Sale: 1 transaction, average price 0.13
(2,154)
-
\n
Shares withdrawn: 1 transaction average price
\n
0.13
(13,227)
(2)
\n
Purchase: 1 transaction average price 0.08
2,956
-
\n
At December 31
51,763
6
30,589
3
12,884
1
\n
As part of their insurance and investment operations, subsidiaries within the Group also hold Aegon N.V. common shares,
\n
both for their own account and for account of policyholders. These shares have been treated as treasury shares and are (de)
\n
recognized at the consideration paid or received.
\n
2022
2021
2020
\n
Number of shares
\n
(thousands)
Total amount
\n
Number of shares
\n
(thousands)
Total amount
\n
Number of shares
\n
(thousands)
Total amount
\n
Common shares
\n
Held by Aegon N.V.
145,821
662
70,958
262
52,686
171
\n
Held by subsidiaries
785
8
822
8
1,062
9
\n
Common shares B
\n
Held by Aegon N.V.
51,763
6
30,589
3
12,884
1
\n
At December 31
198,369
676
102,369
273
66,632
181
\n
Weighted average number of treasury
\n
shares, including treasury shares held
\n
by subsidiaries (thousands)
\n
Weighted average number of treasury
\n
shares B (thousands)
\n
2020
58,224
18,386
\n
2021
57,989
11,621
\n
2022
97,807
23,696",
"dimensions": {
"concept": "ifrs-full:DisclosureOfTreasurySharesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f33551": {
"value": "30.4 Revaluation reserves
Available-for-sale
\n
investments
\n
Real estate held
\n
for own use
\n
Cash flow
\n
hedging reserve
Total
\n
At January 1, 2022
5,309
32
1,100
6,442
\n
Gross revaluation
(21,586)
(1)
(66)
(21,653)
\n
Shadow accounting adjustment
6,407
-
-
6,407
\n
Net (gains) / losses transferred to income statement
742
(16)
(126)
600
\n
Disposal of a business
14
-
-
14
\n
Foreign currency translation differences
413
(0)
74
487
\n
Tax effect
3,178
-
42
3,219
\n
Transfers to disposal groups
-
-
-
-
\n
Other
7
-
-
7
\n
At December 31, 2022
(5,516)
15
1,024
(4,477)
\n
At January 1, 2021
6,248
35
1,197
7,480
\n
Gross revaluation
(3,930)
(4)
(122)
(4,057)
\n
Shadow accounting adjustment
2,759
-
-
2,759
\n
Net (gains) / losses transferred to income statement
(450)
-
(106)
(556)
\n
Foreign currency translation differences
362
1
84
447
\n
Tax effect
322
1
47
370
\n
Other
(1)
-
-
(1)
\n
At December 31, 2021
5,309
32
1,100
6,442
\n
At January 1, 2020
4,352
19
1,502
5,873
\n
Gross revaluation
5,728
20
(141)
5,607
\n
Shadow accounting adjustment
(2,738)
-
-
(2,738)
\n
Net (gains) / losses transferred to income statement
13
-
(106)
(94)
\n
Net (gains) / losses transferred to retained earnings
-
-
-
-
\n
Foreign currency translation differences
(443)
(2)
(111)
(556)
\n
Tax effect
(664)
(2)
54
(612)
\n
At December 31, 2020
6,248
35
1,197
7,480
\n
The revaluation accounts for both available-for-sale investments and for real estate held for own use include unrealized
\n
gains and losses on these investments, net of tax. Upon sale, the amounts realized are recognized in the income statement
\n
(for available-for-sale investments) or transferred to retained earnings (for real estate held for own use). Upon impairment,
\n
unrealized losses are recognized in the income statement.
\n
The closing balances of the revaluation reserve for available-for-sale investments relate to the following instruments:
\n
2022
2021
2020
\n
Shares
18
49
46
\n
Debt securities
(5,511)
5,276
6,218
\n
Other
(22)
(15)
(17)
\n
Revaluation reserve for available-for-sale investments
(5,516)
5,309
6,248
\n
The cash flow hedging reserve includes (un)realized gains and losses on the effective portions of hedging instruments, net
\n
of tax. The amounts are recognized in the income statement at the moment of realization of the hedged position to offset
\n
the gain or loss from the hedged cash flow. No amounts have been released from equity to be included in the initial
\n
measurement of non-financial assets or liabilities.
\n
Aegon Integrated Annual Report
2022 |
243
\n
Notes to the consolidated financial statements
Note 30
30.5 Remeasurement of defined benefit plans
\n
2022
2021
2020
\n
At January 1
(2,199)
(2,534)
(2,397)
\n
Remeasurements of defined benefit plans
904
501
(360)
\n
Tax effect
(250)
(102)
140
\n
Net exchange differences
(20)
(65)
83
\n
Total remeasurement of defined benefit plans
(1,565)
(2,199)
(2,534)
\n
30.6 Other reserves
\n
Foreign currency
\n
translation
\n
reserve
\n
Net foreign invest-
\n
ment hedging
\n
reserve
\n
Equity move-
\n
ments of joint
\n
ventures and
\n
associates
Total
\n
At January 1, 2022
596
(338)
67
325
\n
Movement in foreign currency translation and net foreign
\n
investment hedging reserves
710
(116)
-
594
\n
Disposal of a business
102
67
(18)
150
\n
Tax effect
(28)
16
-
(12)
\n
Equity movements of joint ventures
-
-
(63)
(63)
\n
Equity movements of associates
-
-
3
3
\n
Transfers to disposal groups
-
-
-
-
\n
At December 31, 2022
1,379
(371)
(11)
997
\n
At January 1, 2021
(403)
(199)
48
(554)
\n
Movement in foreign currency translation and net foreign
\n
investment hedging reserves
1,013
(165)
-
848
\n
Disposal of a business
10
(2)
-
8
\n
Tax effect
(24)
27
-
3
\n
Equity movements of joint ventures
-
-
25
25
\n
Equity movements of associates
-
-
(6)
(6)
\n
At December 31, 2021
596
(338)
67
325
\n
At January 1, 2020
799
(374)
31
456
\n
Movement in foreign currency translation and net foreign
\n
investment hedging reserves
(1,209)
195
-
(1,015)
\n
Disposal of a business
(5)
-
(2)
(7)
\n
Tax effect
12
(19)
-
(7)
\n
Equity movements of joint ventures
-
-
12
12
\n
Equity movements of associates
-
-
7
7
\n
At December 31, 2020
(402)
(199)
48
(553)
\n
The foreign currency translation reserve includes the currency results from investments in non-euro denominated subsidiaries.
\n
The amounts are released to the income statement upon the sale of the subsidiary.
\n
The net foreign investment hedging reserve is made up of gains and losses on the effective portions of hedging instruments,
\n
net of tax. The amounts are recognized in the income statement at the moment of realization of the hedged position to offset
\n
the gain or loss from the net foreign investment.
\n
The equity movements of joint ventures and associates reflect Aegon's share of changes recognized directly in the joint
\nventure's and associate\u2019s equity.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfReservesAndOtherEquityInterestExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f34171": {
"value": "32 Subordinated borrowings
Fixed to floating subordinated notes
Coupon rate
Coupon date
Issue / Maturity
Year of next call
2022
2021
\n
EUR 700 million
4%
\n
2)
\n
Annually, April 25
2014/44
2024
699
698
\n
USD 800 million
5.5%
\n
3)
\n
Semi-annually, April 11
2018/48
2028
743
697
\n
Fixed subordinated notes
\n
USD 925 million
\n
1)
\n
5.1%
Quarterly, March 15
2019/49
2024
852
798
\n
At December 31
2,295
2,194
\n
Fair value of subordinated
\n
borrowings
2,035
2,438
\n
1
\n
Issued by a subsidiary of, and guaranteed by Aegon N.V.
\n
2
\n
The coupon is fixed at 4% until the first call date and floating thereafter with a 3 months Euribor plus a margin of 335bps.
\n
3
\n
The coupon is fixed at 5.5% until the first call date and floating thereafter with a 6 month USD LIBOR plus a margin of 3.539%.
\n
These securities are subordinated and rank senior to the junior perpetual capital securities and the perpetual contingent
\n
convertible securities, equally with the perpetual cumulative subordinated bonds and junior to all other liabilities.
\n
The conditions of the securities contain certain provisions for optional and required deferral of interest payments. There have
\nbeen no defaults or breaches of conditions during the period.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfSubordinatedLiabilitiesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f34285": {
"value": "34 Insurance contracts
34.1 Underwriting risk
\n
Aegon\u2019s earnings depend significantly upon the extent to which actual claims experience differs from the assumptions used
\n
in setting the prices for products and establishing the technical liabilities and liabilities for claims. To the extent that actual
\n
claims experience is less favorable than the underlying assumptions used in establishing such liabilities, income would
\n
be reduced. Furthermore, if these higher claims were part of a permanent trend, Aegon may be required to change best
\n
estimate assumptions for future claims which could increase the required reserves for these future claims, which could reduce
\n
income. In addition, certain acquisition costs related to the sale of new policies and the purchase of policies already in force
\n
have been recorded as assets on the statement of financial position and are being amortized into the income statement over
\n
time. If the assumptions relating to the future profitability of these policies (such as future claims, investment income and
\n
expenses) are not realized, the amortization of these costs could be accelerated and may even require write offs should there
\n
be an expectation of unrecoverability. This could have a materially adverse effect on Aegon\u2019s business, results of operations
\n
and financial condition.
\n
Sources of underwriting risk include policyholder behavior (such as lapses, surrender of policies or partial withdrawals),
\n
policy claims (such as mortality, longevity or morbidity) and expenses. For some product lines, Aegon is at risk if policy
\n
lapses increase as sometimes Aegon is unable to fully recover upfront expenses in selling a product despite the presence
\n
of commission recoveries or surrender charges and fees. There are also products where Aegon is at risk if lapses decrease, for
\n
example where this would result in a higher utilization rate of product guarantees. For mortality and morbidity risk, Aegon sells
\n
certain types of policies that are at risk if mortality or morbidity increases, such as term life insurance and accident insurance,
\n
Aegon also sells certain types of policies that are at risk if mortality decreases (longevity risk) such as annuity products.
\n
Aegon is also at risk if expenses are higher than the expenses assumed beforehand by management and that were priced into
\n
the products.
\n
Aegon monitors and manages its underwriting risk by underwriting risk type. Attribution analysis is performed on earnings
\n
and reserve movements in order to understand the source of any material variation in actual results from what was expected.
\n
Aegon\u2019s units also perform experience studies for underwriting risk assumptions, comparing Aegon\u2019s experience to industry
\n
experience as well as combining Aegon\u2019s experience and industry experience based on the depth of the history of each source
\n
to Aegon\u2019s underwriting assumptions. Where policy charges are flexible in products, Aegon uses these analyses as the basis
\n
for modifying these charges, with a view to maintain a balance between policyholder and shareholder interests. Aegon also has
\n
the ability to reduce expense levels over time, thus mitigating unfavorable expense variation.
\n
Another way to mitigate underwriting risk is through reinsurance. Aegon uses reinsurance to primarily manage and diversify
\n
risk, limit volatility, improve capital positions, limit maximum losses and gain access to reinsurer support. While the objectives
\n
and use can vary by region due to local market considerations and product offerings, the use of reinsurance is coordinated and
\n
monitored globally.
\n
The key areas where reinsurance is used is to reduce our exposure to mortality and morbidity risk primarily through
\n
a combination of quota-share and Excess of Loss reinsurance. Also, Excess of Loss reinsurance is used to limit our exposure
\n
to large losses on non-life business.
\n
In order to minimize its reinsurer defaults exposure, Aegon regularly monitors the creditworthiness of its reinsurers, and where
\n
appropriate, arranges additional protection through letters of credit, trust agreements and over-collateralization. For certain
\n
agreements, funds are withheld for investment rather than relying on the reinsurer to meet investment expectations. Default
\n
exposure is further reduced by using multiple reinsurers within certain reinsurance agreements.
\n
External reinsurance counterparties are, in general, major global reinsurers. At the same time, local reinsurers are utilized
\n
to ensure a balance for local capacity and diversification.
\n
Sensitivity analysis of net result and shareholders\u2019 equity to various underwriting risks is shown in the table that follows.
\n
Aegon's best estimate assumptions already include expected future developments and the sensitivities represent an increase
\n
or decrease of lapse rates, mortality rates and morbidity rates, compared to Aegon's best estimate assumptions. These
\n
underwriting sensitivities were run using a permanent shock applied to all of Aegon's products, exposed to an increase and to a
\n
decrease in the rates. The table below indicates that the morbidity sensitivity has the largest impact and in aggregate, Aegon
\n
is exposed to a decrease in mortality rates.
\n
Aegon Integrated Annual Report
2022 |
247
\n
Notes to the consolidated financial statements
Note 34
Sensitivity analysis of net result and shareholders\u2019 equity to changes in various underwriting risks
\n
2022
\n
1)
\n
2021
\n
1)
\n
Estimated approximate effect
\n
On shareholders'
\n
equity
On net result
\n
On shareholders'
\n
equity
On net result
\n
20% increase in lapse rates
(1)
1
108
109
\n
20% decrease in lapse rates
(12)
(16)
(110)
(115)
\n
5% increase in mortality rates
(140)
(147)
340
295
\n
5% decrease in mortality rates
(50)
(46)
(434)
(378)
\n
10% increase in morbidity rates
(389)
(394)
(292)
(284)
\n
10% decrease in morbidity rates
108
109
178
175
\n
1
\n
Includes the approximate effects of the disposal group
\n
34.2 Insurance contracts for general account
\n
2022
2021
\n
Life insurance
75,084
110,691
\n
Non-life insurance
\n
- Unearned premiums and unexpired risks
6,181
6,548
\n
- Outstanding claims
1,683
2,247
\n
- Incurred but not reported claims
460
816
\n
Incoming reinsurance
3,901
4,120
\n
At December 31
87,309
124,422
\n
The decrease in Insurance contracts for general account in 2022 is mainly the result of the classification of Aegon
\n
the Netherlands as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
2022
2021
\n
Non-life insurance:
\n
- Accident and health insurance
8,324
9,374
\n
- General insurance
-
237
\n
Total non-life insurance
8,324
9,611
\n
Movements during the year in life insurance:
2022
2021
\n
At January 1
110,691
109,062
\n
Disposals
(576)
-
\n
Portfolio transfers and acquisitions
(18)
(26)
\n
Gross premium and deposits \u2013 existing and new business
6,070
6,033
\n
Unwind of discount / interest credited
3,593
4,037
\n
Insurance liabilities released
(10,364)
(9,490)
\n
Changes in valuation of expected future benefits
(2,840)
(1,635)
\n
Loss recognized as a result of liability adequacy testing
(2,239)
(236)
\n
Shadow accounting adjustments
(3,352)
(1,821)
\n
Net exchange differences
4,338
4,713
\n
Transfer (to) / from reinsurance assets
273
36
\n
Transfers to disposal groups
(30,491)
-
\n
Other
-
17
\n
At December 31
75,084
110,691
\n
|
Aegon Integrated Annual Report
2022
248
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Sensitivity analysis of net result and shareholders\u2019 equity
\n
Estimated approximate
\n
effects on net result
\n
Estimated approximate
\n
effects on shareholders'
\n
equity
\n
2022
\n
1)
\n
Shift up 50 basis points - Bond credit spreads
(237)
(1,463)
\n
Shift down 50 basis points - Bond credit spreads
233
1,567
\n
Shift up 50 basis points - Mortgage spreads
(314)
(280)
\n
Shift down 50 basis points - Mortgage spreads
156
190
\n
Shift up 5 basis points - Liquidity premium
97
129
\n
Shift down 5 basis points - Liquidity premium
(77)
(42)
\n
2021
\n
1)
\n
Shift up 50 basis points - Bond credit spreads
(192)
(2,418)
\n
Shift down 50 basis points - Bond credit spreads
169
2,387
\n
Shift up 50 basis points - Mortgage spreads
(444)
(401)
\n
Shift down 50 basis points - Mortgage spreads
452
496
\n
Shift up 5 basis points - Liquidity premium
136
178
\n
Shift down 5 basis points - Liquidity premium
(148)
(104)
\n
1
\n
Includes the approximate effects of the disposal group
\n
Movements during the year in non-life insurance:
2022
2021
\n
At January 1
9,611
9,118
\n
Disposals
(115)
(25)
\n
Portfolio transfers and acquisitions
-
1
\n
Gross premiums \u2013 existing and new business
1,310
1,508
\n
Unwind of discount / interest credited
536
479
\n
Insurance liabilities released
(1,198)
(992)
\n
Changes in valuation of expected future claims
41
(36)
\n
Change in unearned premiums
(488)
(731)
\n
Change in unexpired risks
-
-
\n
Incurred related to current year
642
670
\n
Incurred related to prior years
262
267
\n
Release for claims settled current year
(211)
(269)
\n
Release for claims settled prior years
(822)
(757)
\n
Shadow accounting adjustments
(734)
(153)
\n
Change in IBNR
(98)
(59)
\n
Net exchange differences
550
592
\n
Transfers to disposal groups
(961)
-
\n
Other
-
(1)
\n
At December 31
8,324
9,611
\n
Movements during the year in incoming reinsurance:
2022
2021
\n
At January 1
4,120
3,965
\n
Gross premium and deposits \u2013 existing and new business
1,142
1,276
\n
Unwind of discount / interest credited
199
192
\n
Insurance liabilities released
(1,885)
(1,562)
\n
Changes in valuation of expected future benefits
91
(36)
\n
Shadow accounting adjustments
(30)
(7)
\n
Loss recognized as a result of liability adequacy
(11)
(3)
\n
Net exchange differences
276
296
\n
Other
(2)
(1)
\n
At December 31
3,901
4,120
\n
Aegon Integrated Annual Report
2022 |
249
\n
Notes to the consolidated financial statements
Note 34
34.3 Insurance contracts for account of policyholders
\n
Insurance contracts for account of policyholders
2022
2021
\n
At January 1
149,323
135,441
\n
Disposal of a business
(192)
-
\n
Portfolio transfers and acquisitions
(73)
(547)
\n
Gross premium and deposits \u2013 existing and new business
4,831
5,532
\n
Unwind of discount / interest credited
(24,402)
14,994
\n
Insurance liabilities released
(10,190)
(13,199)
\n
Fund charges released
(1,681)
(1,680)
\n
Changes in valuation of expected future benefits
(1,121)
(145)
\n
Transfer (to) / from insurance contracts
(284)
783
\n
Net exchange differences
3,773
8,144
\n
Transfers to disposal groups
(19,577)
-
\n
Other
-
1
\n
At December 31
100,409
149,323",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInsuranceContractsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f34698": {
"value": "35 Investment contracts
35.1 Investment contracts for general account
\n
Without discretionary
\n
participation features
\n
With discretionary
\n
participation features
Total
\n
At January 1, 2022
21,573
194
21,767
\n
Deposits
22,695
-
22,695
\n
Withdrawals
(23,276)
-
(23,276)
\n
Investment contracts liabilities released
-
(11)
(11)
\n
Interest credited
268
-
268
\n
Net exchange differences
642
(10)
632
\n
Transfer (to)/from other headings
797
-
797
\n
Transfers to disposal groups
(12,179)
-
(12,179)
\n
Other
(35)
-
(35)
\n
At December 31, 2022
10,485
174
10,658
\n
At January 1, 2021
20,889
185
21,075
\n
Deposits
20,947
-
20,947
\n
Withdrawals
(21,936)
-
(21,936)
\n
Investment contracts liabilities released
-
(3)
(3)
\n
Interest credited
256
-
256
\n
Net exchange differences
660
12
672
\n
Transfer (to)/from other headings
780
-
780
\n
Other
(23)
-
(23)
\n
At December 31, 2021
21,573
194
21,767
\n
Investment contracts consist of the following:
2022
2021
\n
Institutional guaranteed products
179
187
\n
Fixed annuities
10,230
9,543
\n
Savings accounts
-
11,586
\n
Investment contracts with discretionary participation features
174
194
\n
Other
76
256
\n
At December 31
10,658
21,767
\n
The decrease in Investment contracts for general account in 2022 is mainly the result of the classification of Aegon
\n
the Netherlands as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
|
Aegon Integrated Annual Report
2022
250
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
35.2 Investment contracts for account of policyholders
\n
Without discretionary
\n
participation features
\n
With discretionary
\n
participation features
Total
\n
At January 1, 2022
71,242
33,350
104,592
\n
Gross premium and deposits \u2013 existing and new business
11,155
677
11,832
\n
Withdrawals
(15,132)
-
(15,132)
\n
Disposal of a business
(182)
-
(182)
\n
Interest credited
(9,691)
(4,007)
(13,698)
\n
Investment contracts liabilities released
-
(3,182)
(3,182)
\n
Fund charges released
(202)
-
(202)
\n
Net exchange differences
382
(1,537)
(1,154)
\n
Transfer (to)/from other headings
(1,396)
-
(1,396)
\n
Transfers to disposal groups
(925)
-
(925)
\n
Other
2
-
2
\n
At December 31, 2022
55,254
25,301
80,555
\n
At January 1, 2021
59,625
31,999
91,624
\n
Gross premium and deposits \u2013 existing and new business
11,185
810
11,995
\n
Withdrawals
(10,716)
-
(10,716)
\n
Interest credited
7,572
3,130
10,702
\n
Investment contracts liabilities released
-
(3,815)
(3,815)
\n
Fund charges released
(209)
-
(209)
\n
Net exchange differences
4,256
2,097
6,353
\n
Transfer (to)/from other headings
(473)
(871)
(1,344)
\n
Other
1
-
1
\n
At December 31, 2021
71,242
33,350
104,592
\n
The decrease in Investment contracts for account of policyholders in 2022 is mainly the result of the classification of Aegon
\nthe Netherlands as held for sale and discontinued operations, refer to note 51 Discontinued operations. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInvestmentContractsLiabilitiesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f35262": {
"value": "37 Borrowings
2022
2021
\n
Capital funding
1,245
1,292
\n
Operational funding
2,806
8,369
\n
At December 31
4,051
9,661
\n
Current
1,150
824
\n
Non-current
2,901
8,837
\n
Fair value of borrowings
4,114
10,171
\n
The decrease in Borrowings in 2022 is mainly the result of the classification of Aegon the Netherlands as held for sale and
\n
discontinued operations, refer to note 51 Discontinued operations.
\n
Aegon\u2019s borrowings are defined separately as capital funding and operational funding. Capital funding includes debt
\n
securities that are issued for general corporate purposes and for capitalizing its business units. Capital funding is part
\n
of the Company\u2019s total capitalization that is used for financing its subsidiaries and the cash held at the holding company.
\n
Operational funding includes debt securities that are issued for financing of dedicated pools of assets. These assets are either
\n
legally segregated or tracked as separate portfolios.
\n
The difference between the contractually required payment at maturity date and the carrying amount of the borrowings
\n
amounted to EUR 7 million positive (2021: EUR 25 million positive).
\n
|
Aegon Integrated Annual Report
2022
254
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Capital funding
\n
A detailed composition of capital funding is included in the following table:
\n
(sorted by maturity)
Coupon rate
Coupon date
Issue / Maturity
2022
2021
\n
EUR 500 million Senior Unsecured Notes
1.00%
December 8
2016 / 23
499
499
\n
GBP 250 million Medium-Term Notes
6.125%
December 15
1999 / 31
281
296
\n
GBP 400 million Senior Unsecured Notes
6.625%
Semi-annually
2009 / 39
446
472
\n
Other
19
26
\n
At December 31
1,245
1,292
\n
These loans are considered senior debt in calculating financial leverage in note 43 Capital management and solvency.
\n
Operational funding
\n
During 2022, the operational funding decreased by EUR 5.6 billion mainly due to result of the classification of Aegon
\n
the Netherlands as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
Coupon rate
Coupon date
Issue / Maturity
2022
2021
\n
Revolving Loan Facility Warehouse Mortgage Loans
\n
1)
\n
Floating
Monthly
- / 22
-
592
\n
Revolving Loan Facility Warehouse Mortgage Loans
\n
1)
\n
Floating
Monthly
- / 24
-
494
\n
EUR 875 million \"SAECURE 16\" RMBS Note
\n
1)
\n
,
\n
2)
\n
Floating
Quarterly
2018 / 23
-
676
\n
EUR 512 million \"SAECURE 18\" RMBS Note
\n
1)
\n
,
\n
3)
\n
Floating
Quarterly
2019 / 25
-
355
\n
EUR 657 million \"SAECURE 20\" RMBS Note
\n
1)
\n
,
\n
4)
\n
Floating
Quarterly
2021 / 27
-
625
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
1)
\n
,
\n
5)
\n
0.250%
Annual
2016 / 23
-
499
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
1)
\n
,
\n
6)
\n
0.375%
Annual
2017 / 24
-
499
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
1)
\n
,
\n
7)
\n
0.010%
Annual
2020 / 25
-
506
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
1)
\n
,
\n
8)
\n
0.750%
Annual
2017 / 27
-
492
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
1)
\n
,
\n
9)
\n
0.375%
Annual
2021 / 36
-
494
\n
FHLB Secured borrowings
\n
1)
\n
Floating
Quarterly
2021 / 24
2,806
2,634
\n
Aegon Bank Senior Non-Preferred debt
\n
1)
\n
0.625%
Annual
2019 / 24
-
499
\n
Other
-
5
\n
At December 31
2,806
8,369
\n
1
\n
Issued by a subsidiary of Aegon N.V.
\n
2
\n
The first optional redemption date is October 30, 2023; the final legal maturity date is October 30, 2091. Notes are fully collateralized by mortgage loans which
\n
are part of Aegon\u2019s general account investments.
\n
3
\n
The first optional redemption date is July 28, 2025; the final legal maturity date is April 28, 2092. Notes are fully collateralized by mortgage loans which are part
\n
of Aegon\u2019s general account investments.
\n
4
\n
The first optional redemption date is October 28, 2027; the final legal maturity date is April 28, 2093. Notes are fully collateralized by mortgage loans which are
\n
part of Aegon\u2019s general account investments.
\n
5
\n
The maturity date is May 25, 2023; the extended due for payment date is May 25, 2055.
\n
6
\n
The maturity date is November 21, 2024; the extended due for payment date is November 21, 2056.
\n
7
\n
The maturity date is November 16, 2025; the extended due for payment date is November 16, 2057.
\n
8
\n
The maturity date is June 27, 2027; the extended due for payment date is June 27, 2059.
\n
9
\n
The maturity date is June 9, 2036; the extended due for payment date is June 9, 2037.
\n
Other
\n
Undrawn committed borrowing facilities:
2022
2021
\n
Floating-rate
\n
- Expiring within one year
-
408
\n
- Expiring beyond one year
3,435
2,991
\n
At December 31
3,435
3,399
\nThere were no defaults or breaches of conditions during the period. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfBorrowingsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f35513": {
"value": "38 Provisions
2022
2021
\n
At January 1
193
309
\n
Additional provisions
28
91
\n
Disposals
(8)
(6)
\n
Unused amounts reversed through the income statement
(10)
-
\n
Used during the year
(57)
(209)
\n
Net exchange differences
5
9
\n
Transfer to disposal groups
(52)
-
\n
At December 31
99
193
\n
Current
89
139
\n
Non-current
10
54
\n
The decrease in Provisions in 2022 is mainly the result of the classification of Aegon the Netherlands as held for sale and
\n
discontinued operations, refer to note 51 Discontinued operations.
\n
The provisions as at December 31, 2022 consisted of litigation provisions of EUR 71 million (2021: EUR 93 million) mainly
\n
related to a settlement in the US relating to increases in monthly deduction rates on universal life products (refer to note
\n
45 Commitments and contingencies), restructuring provisions of EUR 9 million (2021: EUR 30 million) and other provisions
\nof EUR 19 million (2021: EUR 70 million).",
"dimensions": {
"concept": "ifrs-full:DisclosureOfProvisionsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f35555": {
"value": "39 Defined benefit plans
2022
2021
\n
Retirement benefit plans
225
3,547
\n
Other post-employment benefit plans
184
277
\n
Total defined benefit plans
409
3,824
\n
Retirement benefit plans in surplus
87
119
\n
Total defined benefit assets
87
119
\n
Retirement benefit plans in deficit
312
3,666
\n
Other post-employment benefit plans in deficit
184
277
\n
Total defined benefit liabilities
496
3,944
\n
The decrease in Defined benefit plans in 2022 is mainly the result of the classification of Aegon the Netherlands as held for
\n
sale and discontinued operations, refer to note 51 Discontinued operations.
\n
2022
2021
\n
Movements during the year in defined benefit
\n
plans
\n
Retirement
\n
benefit plans
\n
Other post-
\n
employment
\n
benefit plans
Total
\n
Retirement
\n
benefit plans
\n
Other post-
\n
employment
\n
benefit plans
Total
\n
At January 1
3,547
277
3,824
4,318
275
4,593
\n
Defined benefit expenses
68
17
85
(8)
16
8
\n
Remeasurements of defined benefit plans
(837)
(67)
(904)
(487)
(14)
(501)
\n
Contributions paid
(38)
-
(38)
(164)
-
(164)
\n
Benefits paid
(117)
(17)
(134)
(110)
(15)
(125)
\n
Net exchange differences
21
15
36
29
16
45
\n
Transfer to disposal groups
(2,421)
(41)
(2,462)
-
-
-
\n
Other
1
-
1
(32)
-
(32)
\n
At December 31
225
184
409
3,547
277
3,824
\n
|
Aegon Integrated Annual Report
2022
256
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
\n
\n
The amounts recognized in the statement of financial position are determined as follows:
\n
2022
2021
\n
Retirement
\n
benefit plans
\n
Other post-
\n
employment
\n
benefit plans
Total
\n
Retirement
\n
benefit plans
\n
Other post-
\n
employment
\n
benefit plans
Total
\n
Present value of wholly or partly funded
\n
obligations
3,098
-
3,098
4,604
-
4,604
\n
Fair value of plan assets
(3,083)
-
(3,083)
(4,717)
-
(4,717)
\n
15
-
15
(112)
-
(112)
\n
Present value of wholly unfunded obligations
210
184
394
3,660
277
3,937
\n
At December 31
225
184
409
3,547
277
3,824
\n
The fair value of Aegon\u2019s own transferable financial instruments included in plan assets and the fair value of other assets used
\n
by Aegon included in plan assets was nil in both 2022 and 2021.
\n
2022
2021
\n
Defined benefit expenses
\n
Retirement
\n
benefit plans
\n
Other post-
\n
employment
\n
benefit plans
Total
\n
Retirement
\n
benefit plans
\n
Other post-
\n
employment
\n
benefit plans
Total
\n
Current year service cost
32
11
43
48
11
59
\n
Net interest on the net defined benefit liability
\n
(asset)
38
6
45
32
5
37
\n
Past service cost
(3)
-
(3)
(88)
-
(88)
\n
Total defined benefit expenses
68
17
85
(8)
16
8
\n
2020
\n
Retirement
\n
benefit plans
\n
Other post-
\n
employment
\n
benefit plans
Total
\n
Current year service cost
52
11
63
\n
Net interest on the net defined benefit liability (asset)
52
7
59
\n
Past service cost
1
-
1
\n
Total defined benefit expenses
104
18
122
\n
Defined benefit expenses are included in 'Commissions and expenses' in the income statement.
\n
Movements during the year of the present value of the defined benefit obligations
2022
2021
\n
At January 1
8,541
9,059
\n
Current year service cost
43
59
\n
Interest expense
158
131
\n
Remeasurements of the defined benefit obligations:
\n
- Actuarial gains and losses arising from changes in demographic assumptions
(3)
(59)
\n
- Actuarial gains and losses arising from changes in financial assumptions
(2,420)
(299)
\n
Past service cost
(3)
(88)
\n
Benefits paid
(529)
(455)
\n
Amounts paid in respect of settlements
-
(140)
\n
Net exchange differences
164
364
\n
Transfer to disposal groups
(2,462)
-
\n
Other
1
(32)
\n
At December 31
3,491
8,541
\n
Aegon Integrated Annual Report
2022 |
257
\n
Notes to the consolidated financial statements
Note 39
Movements during the year in plan assets for retirement benefit plans
2022
2021
\n
At January 1
4,717
4,466
\n
Interest income (based on discount rate)
114
94
\n
Remeasurements of the net defined liability (asset)
(1,518)
144
\n
Contributions by employer
38
164
\n
Benefits paid
(395)
(330)
\n
Amounts paid in respect of settlements
-
(140)
\n
Net exchange differences
127
319
\n
At December 31
3,083
4,717
\n
2022
2021
\n
Breakdown of plan assets for retirement
\n
benefit plans
Quoted
Unquoted
Total
\n
in % of
\n
total plan
\n
assets
Quoted
Unquoted
Total
\n
in % of
\n
total plan
\n
assets
\n
Equity instruments
-
-
-
0%
-
-
-
0%
\n
Debt instrument
336
154
490
16%
603
387
990
21%
\n
Real estate
-
-
-
0%
-
142
142
3%
\n
Derivatives
-
(218)
(218)
(7%)
-
(3)
(3)
(0%)
\n
Investment funds
-
2,214
2,214
72%
-
3,069
3,069
65%
\n
Structured securities
-
268
268
9%
-
-
-
0%
\n
Other
-
328
328
11%
2
516
518
11%
\n
At December 31
336
2,746
3,083
100%
605
4,112
4,717
100%
\n
Defined benefit plans are mainly operated by Transamerica, Aegon the Netherlands and Aegon UK. The following sections
\n
contain a general description of the plans in each of these subsidiaries and a summary of the principal actuarial assumptions
\n
applied in determining the value of defined benefit plans.
\n
Transamerica
\n
Transamerica has defined benefit plans covering substantially all its employees that are qualified under the Internal Revenue
\n
Service Code, including all requirements for minimum funding levels. The defined benefit plans are governed by the Board
\n
of Directors of Transamerica Corporation. The Board of Directors has the full power and discretion to administer the plan
\n
and to apply all of its provisions, including such responsibilities as, but not limited to, developing the investment policy and
\n
managing assets for the plan, maintaining required funding levels for the plan, deciding questions related to eligibility and
\n
benefit amounts, resolving disputes that may arise from plan participants and for complying with the plan provisions, and legal
\n
requirements related to the plan and its operation. The benefits are based on years of service and the employee\u2019s eligible
\n
annual compensation. The plan provides benefits are based on the employee\u2019s eligible annual compensation. The plans provide
\n
benefits based on a cash balance formula (which defines the accrued benefit in terms of a stated account balance), depending
\n
on the age and service of the plan participant. The defined benefit plans have a deficit of EUR 102 million at December 31,
\n
2022 (2021: EUR 7 million deficit).
\n
Investment strategies are established based on asset and liability studies by actuaries which are updated as they consider
\n
appropriate. These studies, along with the investment policy, assist to develop the appropriate investment criteria for
\n
the plan, including asset allocation mix, return objectives, investment risk and time horizon, benchmarks and performance
\n
standards, and restrictions and prohibitions. The overall goal is to maximize total investment returns to provide sufficient
\n
funding for the present and anticipated future benefit obligations within the constraints of a prudent level of portfolio risk
\n
and diversification. Aegon believes that the asset allocation is an important factor in determining the long-term performance
\n
of the plan. The plan uses multiple asset classes as well as sub-classes to meet the asset allocation and other requirements
\n
of the investment policy, which minimizes investment risk. From time to time the actual asset allocation may deviate from
\n
the desired asset allocation ranges due to different market performance among the various asset categories. If it is determined
\n
that rebalancing is required, future additions and withdrawals will be used to bring the allocation to the desired level.
\n
Transamerica maintains minimum required funding levels as set forth by the Internal Revenue Code. If contributions are
\n
required, the funding would be provided from the Company\u2019s general account assets. Pension plan contributions were not
\n
required for Transamerica in 2022 or 2021. However, with the Transamerica Management Board approval of a proposal from
\n
Transamerica Corporation, Transamerica Corporation made a pension plan contribution of EUR 91 million in August 2021 that
\n
|
Aegon Integrated Annual Report
2022
258
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
was over and above the minimum required funding levels as set forth by the Internal Revenue Code. In 2020, Transamerica
\n
Corporation did not make a voluntary pension plan contributions.
\n
Transamerica also sponsors supplemental retirement plans to provide senior management with benefits in excess of normal
\n
retirement benefits. The plans are unfunded and are not qualified under the Internal Revenue Code. The supplemental
\n
retirement plans are governed by either Transamerica Corporation, or the Compensation Committee of the Board of Directors
\n
of Transamerica Corporation. Transamerica Corporation, or the Compensation Committee of the Board of Directors has
\n
the full power and discretion to apply all of the plan\u2019s provisions, including such responsibilities as, but not limited to, interpret
\n
the plan provisions, to make factual determinations under the plan, to determine plan benefits, and to comply with any
\n
statutory reporting and disclosure requirements. The benefits are based on years of service and the employee\u2019s eligible annual
\n
compensation. The plans provide benefits based on a traditional final average formula or a cash balance formula (which
\n
defines the accrued benefit in terms of a stated account balance), depending on the age and service of the plan participant.
\n
The company funds the benefit payments of the supplemental retirement plans from its general account assets. The unfunded
\n
amount related to these plans, for which a liability has been recorded, was EUR 197 million (2021: EUR 235 million unfunded).
\n
Transamerica provides health care benefits to retired employees through continuation of coverage primarily in self funded
\n
plans, and partly in fully insured plans, which are classified as unfunded per IAS 19 financial guidance. The postretirement
\n
health care benefits under the Plans are administered by Transamerica Corporation, which has delegated the claims
\n
administration to third-party administrators. Transamerica maintains two plans which provide continuation of coverage for
\n
retiree medical benefits. For each plan, Transamerica has the fiduciary responsibility to administer the plan in accordance with
\n
its terms, and decides questions related to eligibility and determines plan provisions and benefit amounts.
\n
Under the Employee Retirement Income Security Act (ERISA), Transamerica has the fiduciary responsibility to monitor
\n
the quality of services provided by the third-party claims administrator and to replace the third-party administrator if needed.
\n
In addition, Transamerica has the fiduciary obligation to interpret the provisions of the plans, and to comply with any statutory
\n
reporting and disclosure requirements. Finally, Transamerica reviews the terms of the plans and makes changes to the plans
\n
if and when appropriate. Transamerica funds the benefit payments or premium payments of the post-retirement health
\n
care plans from its general account assets. The post-retirement health benefit liability amounted to EUR 184 million (2021:
\n
EUR 220 million).
\n
The weighted average duration of the defined benefit obligation is 9.8 years (2021: 12.9 years).
\n
The principal actuarial assumptions that apply for the year ended December 31 are as follows:
\n
Actuarial assumptions used to determine defined benefit obligations at year-end
2022
2021
\n
Demographic actuarial assumptions
\n
Mortality
US mortality table
\n
1)
\n
US mortality table
\n
1)
\n
Financial actuarial assumptions
\n
Discount rate
5.22%/5.14%
2.80%/2.61%
\n
Salary increase rate
4.00%
4.00%
\n
Health care trend rate
6.30%
6.10%
\n
1
\n
2022 assumption -PRI-2012 Employee, Healthy Annuitant and Contingent Survivor Tables (90% white collar/10% blue collar) projected with Scale MP-2021.
\n
Comparative figures are as included in the Integrated Annual Report 2021.
\n
Aegon Integrated Annual Report
2022 |
259
\n
Notes to the consolidated financial statements
Note 39
The principal actuarial assumptions have an effect on the amounts reported for the defined benefit obligation. A change
\n
as indicated in the table below in the principal actuarial assumptions would have the following effects on the defined benefit
\n
obligation per year-end:
\n
Estimated approximate effects on
\n
the defined benefit obligation
\n
2022
2021
\n
Demographic actuarial assumptions
\n
10% increase in mortality rates
(50)
(69)
\n
10% decrease in mortality rates
54
77
\n
Financial actuarial assumptions
\n
100 basis points increase in discount rate
(222)
(357)
\n
100 basis points decrease in discount rate
277
436
\n
100 basis points increase in salary increase rate
4
-
\n
100 basis points decrease in salary increase rate
(3)
-
\n
100 basis points increase in health care trend rate
10
13
\n
100 basis points decrease in health care trend rate
(9)
(12)
\n
The above sensitivity analysis is based on a change in an assumption while holding all other assumptions constant. In practice,
\n
this is unlikely to occur, and changes in some of the assumptions may be correlated. When calculating the sensitivity
\n
of the defined benefit obligation to significant actuarial assumptions the same method (present value of the defined benefit
\n
obligation calculated with the projected unit credit method at the end of the reporting period) has been applied as when
\n
calculating the pension liability recognized within the statement of financial position.
\n
Target allocation of plan assets
\n
for retirement benefit plans for
\n
the next annual period is:
\n
Equity instruments
2%-4%
\n
Debt instruments
80%-90%
\n
Other
8%-16%
\n
Aegon the Netherlands
\n
The assets and liabilities of Aegon the Netherlands are classified as held for sale, refer to note 51 Discontinued Operations.
\n
Aegon UK
\n
Aegon UK operated a defined benefit pension scheme providing benefits for staff based on final pensionable salary and years
\n
of service. The scheme closed to new entrants a number of years ago and closed to future accrual on March 31, 2013. Aegon
\n
UK now offers a defined contribution pension scheme to all employees.
\n
The pension scheme is administered separately from Aegon UK and is governed by Trustees, who are required to act in the best
\n
interests of the pension scheme members.
\n
The pension scheme Trustees are required to carry out triennial valuations on the scheme\u2019s funding position, with the latest
\n
valuation being as at September 30, 2022. As part of this triennial valuation process, a schedule of contributions is agreed
\n
between the Trustees and Aegon UK in accordance with UK pensions legislation and guidance issued by the Pensions Regulator
\n
in the UK. The schedule of contributions includes deficit reduction contributions to clear any scheme deficit. Under IAS 19,
\n
the defined benefit plan has a surplus of EUR 87 million at December 31, 2022 (2021: EUR 119 million surplus). During 2022,
\n
EUR 38 million (2021: EUR 73 million) of contributions were paid into the scheme.
\n
The investment strategy for the scheme is determined by the trustees in consultation with Aegon UK. Currently 17% of assets
\n
are invested in growth assets (i.e. primarily equities) and 83% are income and liability driven investments where the investments
\n
are a portfolio of fixed interest and inflation-linked bonds and related derivatives, selected to broadly match the interest rate and
\n
inflation profile of liabilities.
\n
Under the scheme rules, pensions in payment increase in line with the UK Retail Price Index, and deferred benefits increase
\n
in line with the UK Consumer Price Index. The pension scheme is therefore exposed to UK inflation changes as well as interest
\n
rate risks, investment returns and changes in the life expectancy of pensioners.
\n
|
Aegon Integrated Annual Report
2022
260
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The scheme purchased two buy-in policies in the name of the Trustee to cover full scheme benefits for a group of pensioners
\n
in 2019 and 2022. The liabilities (and matching assets) calculated on the year end assumptions has been included
\n
in the funded position as at December 31, 2022.
\n
The weighted average duration of the defined benefit obligation is 15.3 years (2021: 21.0 years).
\n
The principal actuarial assumptions that apply for the year ended December 31 are as follows:
\n
Actuarial assumptions used to determine defined benefit obligations at year-end
2022
2021
\n
Demographic actuarial assumptions
\n
Mortality
UK mortality table
\n
1)
\n
UK mortality table
\n
2)
\n
Financial actuarial assumptions
\n
Discount rate
4.96%
1.79%
\n
Price inflation
3.20%
3.34%
\n
1
\n
Club Vita tables based on analysis of Scheme membership CMI 2021 1.5%/1.25% p.a. (males/females)
\n
2
\n
Club Vita tables based on analysis of Scheme membership CMI 2019 1.5%/1.25% p.a. (males/females)
\n
The principal actuarial assumptions have an effect on the amounts reported for the defined benefit obligation. A change
\n
as indicated in the table below in the principal actuarial assumptions would have the following effects on the defined benefit
\n
obligation per year-end:
\n
Estimated approximate effects on
\n
the defined benefit obligation
\n
2022
2021
\n
Demographic actuarial assumptions
\n
10% increase in mortality rates
(19)
(55)
\n
10% decrease in mortality rates
22
62
\n
Financial actuarial assumptions
\n
100 basis points increase in discount rate
(130)
(322)
\n
100 basis points decrease in discount rate
164
433
\n
100 basis points increase in price inflation
55
202
\n
100 basis points decrease in price inflation
(113)
(237)
\n
The above sensitivity analysis is based on a change in an assumption while holding all other assumptions constant. In practice,
\n
this is unlikely to occur, and changes in some of the assumptions may be correlated. When calculating the sensitivity
\n
of the defined benefit obligation to significant actuarial assumptions the same method (present value of the defined benefit
\n
obligation calculated with the projected unit credit method at the end of the reporting period) has been applied as when
\n
calculating the pension liability recognized within the statement of financial position.
\n
Target allocation of plan assets for
\n
retirement benefit plans for the
\n
next annual period is:
\n
Equity instruments
16.7%
\n
Debt instruments
83.3%
\n
All other operating segments
\n
Businesses included in all other operating segments mostly operate defined contribution plans. Please refer to note
\n14 Commissions and expenses for the employee expenses regarding these contribution plans.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfEmployeeBenefitsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f36250": {
"value": "40 Deferred tax
2022
2021
\n
Deferred tax assets
1,827
131
\n
Deferred tax liabilities
4
1,722
\n
Total net deferred tax liability / (asset)
(1,823)
1,591
\n
Aegon Integrated Annual Report
2022 |
261
\n
Notes to the consolidated financial statements
Note 40
The change from a net deferred tax liability at December 31, 2021 to a net deferred tax asset at December 31, 2022 is mainly
\n
the result of market movements on financial assets and the classification of Aegon the Netherlands as held for sale and
\n
discontinued operations, refer to note 51 Discontinued operations.
\n
Deferred tax assets comprise temporary differences on:
2022
2021
\n
Real estate
(15)
-
\n
Financial assets
737
(7)
\n
Insurance and investment contracts
1,515
(8)
\n
Deferred expenses, VOBA and other intangible assets
(2,350)
(133)
\n
Defined benefit plans
199
3
\n
Tax losses and credits carried forward
1,288
264
\n
Other
454
11
\n
At December 31
1,827
131
\n
Deferred tax liabilities comprise temporary differences on:
2022
2021
\n
Real estate
-
776
\n
Financial assets
-
1,979
\n
Insurance and investment contracts
-
(1,410)
\n
Deferred expenses, VOBA and other intangible assets
1
1,573
\n
Defined benefit plans
-
(151)
\n
Tax losses and credits carried forward
-
(754)
\n
Other
3
(291)
\n
At December 31
4
1,722
\n
The following table provides a movement schedule of net deferred tax broken-down by those items for which a deferred tax
\n
asset or liability has been recognized.
\n
Real estate
\n
Financial
\n
assets
\n
Insurance
\n
and
\n
investment
\n
contracts
\n
Deferred
\n
expenses,
\n
VOBA and
\n
other
\n
intangible
\n
assets
\n
Defined
\n
benefit
\n
plans
\n
Tax losses
\n
and
\n
credits
\n
carried
\n
forward
Other
Total
\n
At January 1, 2022
776
1,986
(1,402)
1,706
(154)
(1,018)
(303)
1,591
\n
Charged to income statement
(75)
18
(336)
563
(187)
184
(158)
9
\n
Charged to OCI
(0)
(3,213)
-
-
248
-
1
(2,964)
\n
Net exchange differences
1
180
(72)
88
(12)
(24)
(13)
147
\n
Disposal of a business
(1)
1
3
(5)
-
-
2
(0)
\n
Transfers to disposal groups
(685)
(67)
195
(1)
(94)
-
26
(626)
\n
Transfer (to)/from current income tax
-
-
-
-
-
25
-
25
\n
Transfer (to) /from other headings
-
(95)
97
-
-
-
(3)
(1)
\n
Other
-
-
-
-
-
(1)
(3)
(3)
\n
At December 31, 2022
15
(1,191)
(1,515)
2,351
(199)
(833)
(450)
(1,823)
\n
At January 1, 2021
663
2,413
(1,533)
1,433
(206)
(823)
(366)
1,580
\n
Charged to income statement
113
(206)
217
162
(32)
(140)
54
167
\n
Charged to OCI
(1)
(359)
-
-
100
-
(1)
(261)
\n
Net exchange differences
1
167
(86)
112
(15)
(56)
(20)
103
\n
Transfer (to)/from current income tax
-
-
-
-
-
2
-
2
\n
Transfer (to)/from other headings
-
(29)
-
-
-
(1)
30
-
\n
At December 31, 2021
776
1,986
(1,402)
1,706
(154)
(1,018)
(303)
1,591
\n
Transfer to/from current income tax relates to the deferred tax asset for the loss carry forward position of the Dutch fiscal unity.
\n
|
Aegon Integrated Annual Report
2022
262
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Deferred tax assets are recognized for tax losses and credits carried forward to the extent that the realization of the related tax
\n
benefit through future taxable profits is probable. For an amount of gross EUR 1,176 million; an amount of tax EUR 477 million
\n
related to tax losses carried forward (2021: gross EUR 1,247 million; tax EUR 301 million) and an amount of tax EUR 595 million
\n
related to tax credits carried forward (2021: tax EUR 491 million) the realization of the deferred tax asset is dependent
\n
on the projection of future taxable profits.
\n
For the following amounts, arranged by loss carry forward periods, the deferred tax asset is not recognized:
\n
Gross amounts
\n
1)
\n
Not recognized deferred tax assets
\n
2022
2021
2022
2021
\n
< 5 years
58
62
16
15
\n
\u2265 5 \u2013 10 years
9
24
2
4
\n
\u2265 10 \u2013 15 years
-
-
59
55
\n
\u2265 15 \u2013 20 years
-
-
-
-
\n
Indefinitely
655
598
169
151
\n
At December 31
721
684
247
224
\n
1
\n
The gross value of state tax loss carry forward is not summarized in the disclosure, due to the fact that the United States files in different state jurisdictions with
\n
various applicable tax rates and apportionment rules
\n
Deferred corporate income tax assets in respect of deductible temporary differences are recognized to the extent that
\n
the realization of the related tax benefit through future taxable profits is probable. For the following amounts relating
\n
to deductible temporary differences the realization of the deferred corporate income tax asset is dependent on future taxable
\n
profits in excess of the profits arising from the reversal of existing taxable temporary differences.
\n
Gross amounts
Deferred tax assets
\n
2022
2021
2022
2021
\n
Deferred corporate income tax asset dependent on
\n
retaining bonds and similar investments until the earlier
\n
of market recovery or maturity
6,265
-
1,306
-
\n
Deferred corporate income tax asset dependent on future
\n
taxable profits
27
32
7
8
\n
At December 31
6,292
32
1,313
8
\n
For an amount of gross EUR 423 million; tax EUR 109 million related to deferred tax assets for tax losses from
\n
the continued operations the recognition is depended on the reversal of taxable temporary differences, refer
\n
to note 51 Discontinued operations.
\n
Aegon did not recognize deferred tax assets in respect of deductible temporary differences relating to Financial assets and
\n
Other items for the amount of gross EUR 29 million; tax EUR 5 million (2021: gross EUR 30 million; tax EUR 6 million).
\n
In 2021 deferred tax liabilities have not been recognized for withholding tax and other taxes that would be payable
\n
on the unremitted earnings of certain subsidiaries. The unremitted earnings totaled gross EUR 1,770 million; tax EUR 455 million
\n
calculated at the enacted rates. In 2022 an amount of gross EUR 1,758 million; tax EUR 454 million was recognized which
\n
is accounted for in discontinued operations and the remaining amount of gross EUR 11 million; tax EUR 1 million is no longer
\n
accounted for since this related to the divested business of Hungary.
\n
Deferred taxes are non-current by nature and the majority of the deferred tax assets and liabilities will therefore reverse
\n
after more than one year after the balance sheet date. For an amount of EUR 109 million deferred tax assets will reverse
\nwithin one year.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfDeferredTaxesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f36639": {
"value": "41 Other liabilities
2022
2021
\n
Payables due to policyholders
860
1,229
\n
Payables due to brokers and agents
489
467
\n
Payables out of reinsurance
823
1,384
\n
Social security and taxes payable
49
145
\n
Income tax payable
10
4
\n
Investment creditors
972
1,103
\n
Cash collateral on derivative transactions
2,483
2,708
\n
Cash collateral on securities lended
2,417
2,171
\n
Cash collateral - other
64
76
\n
Repurchase agreements
107
821
\n
Lease liabilities
210
252
\n
Other creditors
2,301
2,556
\n
At December 31
10,785
12,916
\n
Current
10,562
12,233
\n
Non-current
223
683
\n
The decrease in Other liabilities in 2022 is mainly the result of the classification of Aegon the Netherlands as held for sale and
\n
discontinued operations, refer to note 51 Discontinued operations.
\n
The carrying amounts disclosed reasonably approximate the fair values at year-end, given the predominantly current nature
\nof the other liabilities.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfOtherLiabilitiesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f36694": {
"value": "42 Accruals
2022
2021
\n
Accrued interest
129
251
\n
Accrued expenses
244
285
\n
At December 31
373
537
\n
The carrying amounts disclosed reasonably approximate the fair values as at the year-end.
\n
The decrease in Accruals in 2022 is mainly the result of the classification of Aegon the Netherlands as held for sale and
\ndiscontinued operations, refer to note 51 Discontinued operations.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfAccruedExpensesAndOtherLiabilitiesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f36712": {
"value": "43 Capital management and solvency
Strategic importance
\n
Aegon\u2019s approach towards capital management plays a vital role in supporting the execution of its strategy. The key
\n
capital management priority is to ensure adequate capitalization to cover Aegon\u2019s obligations towards its policyholders
\n
and debtholders while providing sustainable dividends to shareholders. This priority is accomplished by allocating capital
\n
to products that offer high growth and return prospects.
\n
Management of capital
\n
Disciplined risk and capital management support Aegon\u2019s decisions in deploying the capital that is generated
\n
in the Company's businesses and that is provided for by investors. Aegon balances the funding of new business growth with
\n
the funding required to ensure that its obligations towards policyholders and debtholders are always adequately met, and
\n
providing for a sustainable dividend to shareholders.
\n
Aegon\u2019s goal for both its operating units and for the Aegon group as a whole is to maintain a strong financial position and
\n
to be able to sustain losses from extreme business and market conditions. Aegon\u2019s Enterprise Risk Management (ERM)
\n
framework ensures that the Aegon Group and its operating companies are adequately capitalized and that obligations towards
\n
policyholders are always adequately met. Embedded in this larger framework is Aegon\u2019s capital management policy, which
\n
is based on adequate capitalization of the operating units, Cash Capital at Holding and leverage.
\n
|
Aegon Integrated Annual Report
2022
264
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Aegon manages capital in the operating units to their respective operating levels, sufficient to absorb moderate shocks and pay
\n
sustainable remittances to the Group, and above their minimum dividend payment levels. Cash Capital at Holding is maintained
\n
within an operating range of EUR 0.5 \u2013 1.5 billion and covers holding expenses, near-term dividends, and contingencies,
\n
such as potential recapitalization of units. In 2022, Aegon achieved its goal to reduce its gross financial leverage to a range
\n
of EUR 5.0 billion to EUR 5.5 billion, as announced during the December 2020 Capital Markets Day. The range was based on a
\n
euro/US dollar exchange rate of 1.20, and at this constant rate the gross financial leverage was EUR 5.4 billion per December
\n
31, 2022. Following the transaction with a.s.r. announced on October 27, 2022, Aegon intends to further reduce its gross
\n
financial leverage by up to EUR 700 million.
\n
The frequent monitoring of actual and forecasted capitalization levels of its underlying businesses is an important element
\n
in Aegon's capital framework in order to actively steer and manage towards maintaining adequate capitalization levels. Group
\n
operating capital generation contributed favorably and more than offset dividend payments.
\n
Capital ratios of Aegon's main operating units
\n
December 31, 2022
\n
1)
\n
December 31, 2021
\n
US RBC ratio
425%
426%
\n
NL Life Solvency II ratio
210%
186%
\n
Scottish Equitable Plc (UK) Solvency II ratio
169%
167%
\n
1
\n
The capital ratios are estimates and are not final until filed with the respective supervisory authority.
\n
The estimated RBC ratio in the United States decreased from 426% on December 31, 2021, to 425% on December 31, 2022,
\n
and remained above the operating level of 400%. The impact from the negative impact of market variances (mainly negative
\n
equity variances) and remittances was partly offset by strong capital generation and one-time items.
\n
The estimated Solvency II ratio of NL Life increased from 186% on December 31, 2021, to 210% on December 31, 2022,
\n
which is above the operating level of 150%. The increase reflects the positive impact of model and assumption changes,
\n
which included the favorable impact of a higher factor applied when calculating the loss absorbing capacity of deferred taxes
\n
(LAC-DT). Lower capital requirements, including from the sale of fixed income investments to protect the liquidity position
\n
in the context of rising interest rates also contributed favorably. Market movements contributed unfavorably and included
\n
the impact of higher mortgage spreads. Operating capital generation more than offset the impact of remittances to the Holding.
\n
The estimated Solvency II ratio for Scottish Equitable Plc increased from 167% on December 31, 2021, to 169% on December
\n
31, 2022, and remained above the operating level of 150%. The increase includes the positive impact from market movements,
\n
reducing required capital, while model and assumption updates had an unfavorable impact. Operating capital generation more
\n
than offset the impact of remittances paid.
\n
The ability of Aegon's operating units, principally insurance companies, to pay remittances to the holding company
\n
is constrained by the requirement for these operating units to remain adequately capitalized to the levels set by local insurance
\n
regulations and governed by local insurance supervisory authorities. Based on the capitalization level of the operating units,
\n
local insurance supervisors are able to restrict and/or prohibit the transfer of remittances to the holding company. In addition,
\n
the ability of operating units to pay remittances to the holding company can be constrained by the requirement for these
\n
operating units to hold sufficient shareholders' equity as determined by law. The capitalization level and shareholders' equity
\n
of the operating units can be impacted by various factors (e.g. general economic conditions, capital market risks, underwriting
\n
risk factors, changes in government regulations, and legal and arbitrational proceedings). To mitigate the impact of such
\n
factors on the ability of operating units to transfer funds, Aegon establishes an operating level of capital in each of the units,
\n
150% SCR for Solvency II units and 400% RBC CAL in the US, which includes additional capital in excess of regulatory capital
\n
requirements. Aegon manages capital in the units to this operating level over-the-cycle.
\n
Cash Capital at Holding
\n
Cash Capital at Holding increased from EUR 1.3 billion on December 31, 2021 to EUR 1.6 billion on December 31, 2022, driven
\n
by free cash flows from the operating units and proceeds from divestitures. Free cash flows were used to pay dividends
\n
to Aegon\u2019s shareholders and to support operating units through capital injections. Proceeds from divestitures included the sale
\n
of Aegon\u2019s Hungarian business and Turkish business to Vienna Insurance Group as well as the sale of Aegon\u2019s stake in the joint
\n
venture with Liberbank to Unicaja Banco. These proceeds were used to reduce leverage and provide additional shareholder
\n
returns through a EUR 300 million share buyback program.
\n
Aegon Integrated Annual Report
2022 |
265
\n
Notes to the consolidated financial statements
Note 43
Aegon Group Solvency Ratio
\n
To calculate its Group Solvency Ratio, Aegon applies a combination of the Group consolidation methods available under
\n
Solvency II: the Accounting Consolidation (AC) and Deduction & Aggregation (D&A) based methods. Solvency II capital
\n
requirements are mainly used for the European Economic Area (EEA)-based insurance and reinsurance entities, applying
\n
the AC method. Local requirements are used for insurance and reinsurance entities in (provisionally) equivalent third-country
\n
jurisdictions. Aegon's UK insurance subsidiaries have been included in the Group Solvency II calculation in accordance with
\n
Solvency II standards, including Aegon's approved Partial Internal Model. For more details, reference is made to the section
\n
\u201cRegulation and Supervision\u201d.
\n
The Group Solvency II ratio is calculated as the ratio between the Eligible Own Funds and the Solvency Capital Requirement
\n
(SCR). The Eligible Own Funds equal to the Available Own Funds after applying any Own Funds eligibility restrictions.
\n
The Group SCR is calculated based on Solvency II Partial Internal Model (PIM), which includes the SCR of AC entities,
\n
the D&A entities and the Other Financial Sector entities (including Aegon Bank). The SCR amount (or 100% Solvency II ratio)
\n
reflects a level of Eligible Own Funds that enables insurance and reinsurance entities to absorb significant losses (1-in-200
\n
year events) and gives reasonable assurance to policyholders and beneficiaries that payments will be made as they fall due.
\n
On December 31, 2022, Aegon's estimated capital position was:
\n
December 31, 2022
\n
1)
\n
December 31, 2021
\n
Group Own Funds
16,332
19,431
\n
Group SCR
7,844
9,226
\n
Group Solvency II ratio
208%
211%
\n
1
\n
The Solvency II ratios are estimates and are not final until filed with the respective supervisory authority.
\n
Aegon Group Eligible Own Funds amounted to EUR 16,332 million on December 31, 2022 (2021: EUR 19,431 million).
\n
The decrease of EUR 3,099 million in Own Funds since December 31, 2021, was mostly driven by negative market impacts
\n
and external dividends (23 cents per share: EUR 460 million), two share buy back announcements (1Q 2022 and 1Q 2023):
\n
EUR 500 million, deleveraging: EUR 386 million and a reduction of eligible own funds due to tiering restrictions: EUR 194 million.
\n
There was a partial offset from the proceeds from divestitures completed in 2022.
\n
Aegon's Group PIM SCR amounted to EUR 7,844 million on December 31, 2022 (2021: EUR 9,226 million). The SCR decreased
\n
by EUR 1,382 million since December 31, 2021. This decrease was mainly the result from the release of required capital of in
\n
force business, the impact from management actions, model and assumption changes and market impacts. This was partially
\n
offset by the need to set up SCR for new business. As a result of the above changes in Eligible Own Funds and PIM SCR,
\n
the Group Solvency II ratio decreased by 3%-points to 208% in 2022.
\n
Minimum regulatory requirements
\n
Insurance laws and regulations in local regulatory jurisdictions often contain minimum regulatory capital requirements. For
\n
insurance companies in the European Union, Solvency II formally defines a lower capital requirement, being the Minimum
\n
Capital Requirement (MCR). An irreparable breach of the MCR would lead to a withdrawal of the Company's insurance license.
\n
Similarly, for the US insurance entities the withdrawal of the insurance license is triggered by a breach of the 100% Authorized
\n
Control Level (ACL), which is set at 50% of the Company Action Level (CAL).
\n
With the introduction of Solvency II for EEA countries, Aegon views the higher capital requirement, 100% of the SCR, as the level
\n
around which EU supervisors will formally require management to provide regulatory recovery plans. For the US insurance
\n
entities this is viewed at 100% CAL.
\n
During 2022, the Aegon Group and the regulated entities within the Aegon Group that are subject to regulatory capital
\n
requirements on a solo-level continued to comply with the solvency requirements.
\n
Capital quality
\n
Aegon\u2019s capital consists of 3 Tiers as an indication of its quality, with Tier 1 capital ranking the highest. The Available Own Funds
\n
is an estimate, has not been filed with the regulator and is subject to supervisory review. It is to be noted that the Group Own
\n
Funds do not include any contingent liability potentially arising from unit-linked products sold, issued or advised on by Aegon
\n
in the Netherlands in the past as the potential liability cannot be reliably quantified at this point.
\n
|
Aegon Integrated Annual Report
2022
266
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The below table provides the composition of Aegon's Available Own Funds across Tiers:
\n
2022
2021
\n
Available Own Funds
Available Own Funds
Percentage total
Available Own Funds
Percentage total
\n
Tier 1 (Unrestricted Tier 1 + Restricted Tier 1)
13,585
82%
16,409
84%
\n
Unrestricted Tier 1
11,762
71%
14,044
72%
\n
Restricted Tier 1
1,822
11%
2,364
12%
\n
Junior Perpetual Capital Securities
993
6%
1,391
7%
\n
Perpetual Cumulative Securities
387
2%
459
2%
\n
Perpetual Contingent Convertible Securities
442
3%
515
3%
\n
Tier 2
2,195
13%
2,348
12%
\n
Subordinated notes issued by AFC
770
5%
832
4%
\n
Subordinated liabilities Aegon NV
720
4%
767
4%
\n
Grandfathered subordinated notes
705
4%
750
4%
\n
Tier 3
746
5%
675
3%
\n
Total Available Own Funds
16,525
19,431
\n
On December 31, 2022, Tier 1 capital amounted to EUR 13,585 million (2021: EUR 16,409), which includes EUR 1,822 million
\n
(2021: EUR 2,364 million ) restricted Tier 1 capital. Restricted Tier 1 capital consists of Aegon's junior perpetual capital
\n
securities (2022: EUR 993 million, 2021: EUR 1,391 million), perpetual cumulative subordinated bonds (2022: EUR 387 million;
\n
2021: EUR 459 million), and perpetual contingent convertible security (2022: EUR 442 million; 2021: EUR 515 million). Both
\n
junior perpetual capital securities and perpetual cumulative subordinated bonds are grandfathered. The reduction in junior
\n
perpetual capital securities is driven by the partial redemption of the EUR 950 million perpetual instrument. Perpetual
\n
contingent convertible securities are Solvency II compliant liabilities which were issued in 2019. Restricted Tier 1 capital
\n
is subject to eligibility restrictions to qualify as Eligible Own Funds.
\n
On December 31, 2022, Tier 2 capital amounted to EUR 2,195 million (2021: 2,348 million). This consists of the subordinated
\n
notes issued by Aegon Funding Company LLC (AFC) in 2019 (2022: EUR 770 million; 2021: EUR 832 million), the Solvency
\n
II compliant subordinated liabilities that were issued during 2018 (2022: EUR 720 million; 2021: EUR 767 million), and
\n
grandfathered subordinated notes (2022: EUR 705 million; 2021: EUR 750 million). Tier 2 capital is subject to eligibility
\n
restrictions to qualify as Eligible Own Funds.
\n
The grandfathered restricted Tier 1 and Tier 2 capital instruments are grandfathered such that they are considered as capital
\n
under the Solvency II framework until December 31, 2025. For the terms and conditions of these grandfathered instruments
\n
refer to note 31 Other equity instruments and note 32 Subordinated borrowings.
\n
It is to be noted that the difference between the amounts mentioned above for junior perpetual capital securities and perpetual
\n
cumulative subordinated bonds, and those in note 31 Other equity instruments and note 32 Subordinated borrowings, stem
\n
from valuation differences between Solvency II (market value) and EU-IFRS rules (refer to related accounting policies in note 2,
\n
paragraphs 2.17 and 2.18).
\n
Tier 3 capital as of December 31, 2022 is comprised of deferred tax assets balances related to Solvency II entities.
\n
Aegon Integrated Annual Report
2022 |
267
\n
Notes to the consolidated financial statements
Note 43
EU-IFRS equity compares to Solvency II Own Funds as follows:
\n
2022
2021
\n
IFRS Shareholders' Equity
11,440
24,282
\n
IFRS adjustments for Other Equity instruments and non controlling interests
2,119
2,559
\n
IFRS Group Equity
13,559
26,841
\n
Solvency II revaluations & reclassifications
2,120
(9,564)
\n
Transferability restrictions
\n
1)
\n
(1,771)
(1,772)
\n
Excess of Assets over Liabilities
13,908
15,504
\n
Availability adjustments
2,715
4,020
\n
Tiering restriction
(194)
-
\n
Fungibility adjustments
(98)
(93)
\n
Eligible Own Funds
16,332
19,431
\n
1
\n
This includes the transferability restriction related to the RBC CAL conversion methodology.
\n
The Solvency II revaluations and reclassification of EUR 2,120 million positive (2021: EUR 9,564 million negative) mainly stem
\n
from the difference in valuation and presentation between EU-IFRS and Solvency II frameworks. The Solvency II revaluations
\n
and reclassification can be grouped into four categories:
\n
\u2022
\n
Items that are not recognized under Solvency II. The most relevant examples of this category for Aegon include Goodwill,
\n
deferred policy acquisition costs (DPAC) and other intangible assets (EUR 1,692 million negative, 2021: EUR 2,263 million
\n
negative);
\n
\u2022
\n
Items that have a different valuation treatment between EU-IFRS and Solvency II. Solvency II is a market consistent
\n
framework hence all assets and liabilities are to be presented at fair value while EU-IFRS also includes other valuation
\n
treatments in addition to fair value. The most relevant examples of this category for Aegon Group include loans and
\n
mortgages, reinsurance recoverables, and technical provisions. The revaluation difference stemming from this category
\n
amounted to EUR 3,356 million positive (2021: EUR 3,197 million positive) compared to the EU-IFRS Statement of Financial
\n
Position;
\n
\u2022
\n
The Net Asset Value of subsidiaries that are included under the D&A method (on provisional equivalence or Standard
\n
Formula basis) in the Group Solvency II results. The revaluation difference stemming from this category amounted to EUR
\n
3,134 million positive (2021: EUR 7,331 million negative) compared to the EU-IFRS Statement of Financial Position;
\n
\u2022
\n
Reclassification of subordinated liabilities of EUR 2,678 million negative (2021: EUR 3,168 negative).
\n
The transferability restrictions reflect the restrictions on Tier 1 unrestricted Own Funds as a consequence of the RBC CAL
\n
conversion methodology as described above.
\n
The availability adjustments are changes to the availability of Own Funds of Aegon Group in accordance with Solvency
\n
II requirements. Examples include the adjustments for subordinated liabilities, ring-fenced fund, treasury shares and
\n
foreseeable dividend.
\n
Finally, the fungibility restrictions limit the availability of Own Funds on Aegon Group level as prescribed by Supervisory
\n
Authorities. These limitations refer to charitable trusts in the Americas for which the local Supervisory Authority could limit
\n
the upstream of capital to the Group and therefore are excluded for Solvency II purposes.
\n
Capital leverage
\n
Aegon\u2019s total capitalization reflects the capital employed in the business units and consists of shareholders\u2019 capital and total
\n
gross financial leverage. Aegon assesses its gross financial leverage position based on various leverage metrics, including the
\n
gross financial leverage ratio, which is calculated by dividing total financial leverage by total capitalization. Aegon defines total
\n
financial leverage as debt or debt-like funding issued for general corporate purposes and for capitalizing Aegon\u2019s business
\n
units. Total financial leverage includes hybrid instruments, in addition to both subordinated and senior debt. Aegon\u2019s total
\n
capitalization comprises the following components:
\n
\u2022
\n
Shareholders\u2019 equity excluding revaluation reserves based on IFRS as adopted by the EU;
\n
\u2022
\n
Non-controlling interests and Long Term Incentive Plans not yet vested; and
\n
\u2022
\n
Total financial leverage.
\n
|
Aegon Integrated Annual Report
2022
268
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The following table shows the composition of Aegon's total capitalization, the calculation of the gross financial leverage ratio
\n
and its fixed charge coverage:
\n
Note
2022
2021
\n
Total shareholders\u2019 equity - based on IFRS as adopted by the EU
30
11,440
24,282
\n
Non-controlling interests and Long Term Incentive Plans not yet vested
31, SOFP
\n
2)
\n
242
253
\n
Revaluation reserves
30
4,477
(6,442)
\n
Adjusted shareholders' equity
16,159
18,093
\n
Perpetual contingent convertible securities
31
500
500
\n
Junior perpetual capital securities
31
923
1,352
\n
Perpetual cumulative subordinated bonds
31
454
454
\n
Fixed floating subordinated notes
32
1,442
1,396
\n
Fixed subordinated notes
32
852
798
\n
Trust pass-through securities
33
118
126
\n
Currency revaluation other equity instruments
\n
1)
\n
66
16
\n
Hybrid leverage
4,356
4,642
\n
Senior debt
\n
3)
\n
37
1,265
1,290
\n
Senior leverage
1,265
1,290
\n
Total gross financial leverage
5,621
5,932
\n
Total capitalization
21,780
24,008
\n
Gross financial leverage ratio
25.8%
24.7%
\n
Fixed Charge Coverage
9.2 x
9.3 x
\n
1
\n
Other equity instruments that are denominated in foreign currencies are, for purpose of calculating hybrid leverage, revalued to the period-end exchange rate.
\n
2
\n
Non-controlling interests are disclosed in the statement of financial position.
\n
3
\n
Senior debt for the gross financial leverage calculation also contains swaps for an amount of EUR (20) million (2021: EUR (2) million).
\n
Aegon N.V. is subject to legal restrictions with regard to the amount of dividends it can pay to its shareholders. Under Dutch law,
\n
the amount that is available to pay dividends consists of total shareholders' equity less the issued and outstanding capital and
\n
the reserves required by law. The legal reserves in respect of the foreign currency translation reserve (FCTR), group companies
\n
and the revaluation reserves, cannot be freely distributed. In case of negative balances for individual reserves legally to be
\n
retained, no distributions can be made out of retained earnings to the level of these negative amounts. Total distributable items
\n
under Dutch law amounted to EUR 5,363 million as at December 31, 2022 (2021: EUR 14,093 million). The following table
\n
shows the composition of the total distributable items:
\n
Distributable items
2022
2021
\n
Equity attributable to shareholders
11,440
24,282
\n
Non-distributable items:
\n
Share capital
(319)
(321)
\n
Legal reserves
\n
1)
\n
(5,758)
(9,868)
\n
At December 31
5,363
14,093
\n
1
\n
The legal reserves in respect of the foreign currency translation reserve (FCTR), group companies and the positive revaluations in the revaluation reserves, cannot
\n
be freely distributed.
\n
Besides the distributable items under Dutch law, a second restriction on the possibility to distribute dividends stems from
\n
Solvency II (Dutch Supervision act).
\n
Distributable reserves
2022
2021
\n
Reserves available for financial surpervision purposes
16,332
19,431
\n
Solvency requirement under the Financial Supervision Act
7,844
9,226
\n
Total distributable reserves on the basis of solvency requirements
8,488
10,205
\n
The freely distributable reserves is the minimum of distributable items under Dutch law and the freely distributable
\n
capital on the basis of solvency requirements and amounted to EUR 5,363 million as at December 31, 2022 (2021:
\nEUR 10,205 million).",
"dimensions": {
"concept": "ifrs-full:DisclosureOfObjectivesPoliciesAndProcessesForManagingCapitalExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f37240": {
"value": "44 Fair value
The estimated fair values of Aegon\u2019s assets and liabilities correspond with the amounts that would be received to sell an asset
\n
or paid to transfer a liability in an orderly transaction between market participants at the measurement date. When available,
\n
Aegon uses quoted market prices in active markets to determine the fair value of investments and derivatives. In the absence
\n
of an active market, the fair value of investments in financial assets is estimated by using other market observable data,
\n
such as corroborated external quotes and present value or other valuation techniques. An active market is one in which
\n
transactions are taking place regularly on an arm\u2019s length basis. Fair value is not determined based upon a forced liquidation
\n
or distressed sale.
\n
Valuation techniques are used when Aegon determines the market is inactive or quoted market prices are not available for
\n
the asset or liability at the measurement date. However, the fair value measurement objective remains the same, that is,
\n
to estimate the price at which an orderly transaction to sell the asset or to transfer the liability would take place between
\n
market participants at the measurement date under current market conditions (i.e. an exit price at the measurement date
\n
from the perspective of a market participant that holds the asset or owes the liability). Therefore, unobservable inputs reflect
\n
Aegon\u2019s own assumptions about the assumptions that market participants would use in pricing the asset or liability (including
\n
assumptions about risk). These inputs are developed based on the best information available.
\n
Aegon employs an oversight structure over valuation of financial instruments that includes appropriate segregation of duties.
\n
Senior management, independent of the investing functions, is responsible for the oversight of control and valuation policies
\n
and for reporting the results of these policies. For fair values determined by reference to external quotation or evidenced
\n
pricing parameters, independent price determination or validation is utilized to corroborate those inputs. Further details
\n
of the validation processes are set out below.
\n
Valuation of assets and liabilities is based on a pricing hierarchy, in order to maintain a controlled process that will
\n
systematically promote the use of prices from sources in which Aegon has the most confidence, where the least amount
\n
of manual intervention exists and to embed consistency in the selection of price sources. Depending on asset type the pricing
\n
hierarchy consists of a waterfall that starts with making use of market prices from indices and follows with making use of third-
\n
party pricing services or brokers.
\n
|
Aegon Integrated Annual Report
2022
270
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Fair value hierarchy
\n
The table below provides an analysis of assets and liabilities recorded at fair value on a recurring basis by level of the fair value
\n
hierarchy. The decrease in assets and liabilities in 2022 is mainly the result of the classification of Aegon the Netherlands
\n
as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
Level I
Level II
Level III
Total 2022
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
22
42
131
195
\n
Debt securities
6,624
46,254
215
53,093
\n
Money market and other short-term instruments
3,639
1,874
1
5,514
\n
Other investments at fair value
-
180
660
840
\n
10,284
48,351
1,008
59,643
\n
Fair value through profit or loss
\n
Shares
144
49
-
193
\n
Debt securities
12
541
1
554
\n
Money market and other short-term instruments
42
57
-
99
\n
Other investments at fair value
1
358
3,363
3,722
\n
Investments for account of policyholders
\n
1)
\n
87,358
91,799
402
179,559
\n
Derivatives
33
2,717
11
2,760
\n
Investments in real estate
-
-
59
59
\n
Investments in real estate for policyholders
-
-
443
443
\n
87,590
95,520
4,279
187,389
\n
Revalued amounts
\n
Real estate held for own use
-
-
73
73
\n
-
-
73
73
\n
Total assets at fair value
97,874
143,870
5,360
247,104
\n
Liabilities carried at fair value
\n
-
-
-
-
\n
Investment contracts for account of policyholders
\n
2)
\n
-
55,228
26
55,254
\n
Derivatives
51
5,202
840
6,094
\n
Total liabilities at fair value
51
60,430
867
61,348
\n
1
\n
The investments for account of policyholders include investments carried at fair value through profit or loss.
\n
2
\n
The investment contracts for account of policyholders represents only those investment contracts carried at fair value.
\n
Aegon Integrated Annual Report
2022 |
271
\n
Notes to the consolidated financial statements
Note 44
Level I
Level II
Level III
Total 2021
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
84
75
191
350
\n
Debt securities
25,166
68,131
603
93,899
\n
Money market and other short-term instruments
1,204
3,586
-
4,790
\n
Other investments at fair value
-
246
599
844
\n
26,453
72,038
1,393
99,884
\n
Fair value through profit or loss
\n
Shares
85
237
1,343
1,665
\n
Debt securities
130
3,161
5
3,296
\n
Money market and other short-term instruments
18
102
-
120
\n
Other investments at fair value
2
389
3,010
3,401
\n
Investments for account of policyholders
\n
1)
\n
129,794
119,653
943
250,390
\n
Derivatives
150
8,676
1
8,827
\n
Investments in real estate
-
-
2,643
2,643
\n
Investments in real estate for policyholders
-
-
563
563
\n
130,178
132,219
8,507
270,904
\n
Revalued amounts
\n
Real estate held for own use
-
-
185
185
\n
-
-
185
185
\n
Total assets at fair value
156,631
204,256
10,086
370,974
\n
Liabilities carried at fair value
\n
Investment contracts for account of policyholders
\n
2)
\n
-
71,249
(6)
71,242
\n
Derivatives
39
7,162
3,437
10,639
\n
Total liabilities at fair value
39
78,411
3,431
81,881
\n
1
\n
The investments for account of policyholders include investments carried at fair value through profit or loss.
\n
2
\n
The investment contracts for account of policyholders represents only those investment contracts carried at fair value.
\n
Significant transfers between Level I, Level II and Level III
\n
Aegon\u2019s policy is to record transfers of assets and liabilities between Level I, Level II and Level III at their fair values as of
\n
the beginning of each reporting period.
\n
The table below shows transfers between Level I and Level II for financial assets and financial liabilities recorded at fair value
\n
on a recurring basis.
\n
Total 2022
\n
1)
\n
Total 2021
\n
Transfers Level I
\n
to Level II
\n
Transfers Level II
\n
to Level I
\n
Transfers Level I
\n
to Level II
\n
Transfers Level II
\n
to Level I
\n
Assets carried at fair value
\n
Available-for-sale
\n
Debt securities
23
5
44
32
\n
Money markets and other short-term instruments
-
721
-
-
\n
23
726
44
32
\n
Fair value through profit or loss
\n
Shares
10
128
-
-
\n
Money markets and other short-term instruments
-
13
-
-
\n
Investments for account of policyholders
-
40
-
-
\n
10
181
-
-
\n
Total assets at fair value
34
907
44
32
\n
-
-
\n
Total Liabilities carried at fair value
-
-
-
-
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Transfers are identified based on transaction volume and frequency, which are indicative of an active market.
\n
|
Aegon Integrated Annual Report
2022
272
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Movements in Level III financial instruments measured at fair value
\n
The following table summarizes the change of all assets and liabilities measured at estimated fair value on a recurring basis
\n
using significant unobservable inputs (Level III), including realized and unrealized gains (losses) of all assets and liabilities and
\n
unrealized gains (losses) of all assets and liabilities still held at the end of the respective period.
\n
Assets carried at
\n
fair value
\n
At
\n
January
\n
1, 2022
\n
Disposal
\n
of a
\n
busi-
\n
ness
\n
Total
\n
gains /
\n
losses in
\n
income
\n
state-
\n
ment
\n
1)
\n
Total
\n
gains /
\n
losses
\n
in OCI
\n
2)
\n
Pur-
\n
chases
Sales
\n
Settle-
\n
ments
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
Reclas-
\n
sifica-
\n
tion
\n
Trans-
\n
fers
\n
from
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
disposal
\n
groups
\n
At
\n
Decem-
\n
ber 31,
\n
2022
\n
Total unrealized
\n
gains and (losses)
\n
for the period
\n
recorded in the
\n
P&L for
\n
instruments held
\n
at December 31,
\n
2022
\n
3)
\n
Available-for-
\n
sale
\n
Shares
191
(0)
(1)
(35)
(4)
(10)
-
12
-
-
-
(21)
131
-
\n
Debt securities
603
-
(1)
(88)
124
(34)
(21)
26
-
43
(384)
(54)
215
-
\n
Money markets
\n
and other
\n
short-term
\n
instruments
-
-
(0)
1
-
-
-
(0)
-
-
-
-
1
-
\n
Other
\n
investments at
\n
fair value
599
-
(142)
22
168
(12)
(14)
39
-
-
-
-
660
-
\n
1,393
(0)
(145)
(100)
289
(56)
(34)
77
-
43
(384)
(75)
1,008
-
\n
Fair value
\n
through profit
\n
or loss
\n
Shares
1,343
-
170
-
190
(345)
-
-
-
-
-
(1,357)
-
-
\n
Debt securities
5
-
(1)
-
44
(3)
-
-
-
-
-
(44)
1
(1)
\n
Other
\n
investments at
\n
fair value
3,010
-
361
-
444
(578)
-
190
-
-
-
(64)
3,363
-
\n
Investments for
\n
account of
\n
policyholders
943
-
41
(0)
(515)
873
-
(10)
-
2
-
(932)
402
(55)
\n
Derivatives
1
-
10
-
-
-
-
(0)
-
-
-
-
11
10
\n
Investments in
\n
real estate
2,643
-
(51)
-
42
(40)
-
3
7
-
-
(2,545)
59
1
\n
Investments in
\n
real estate for
\n
policyholders
563
-
(61)
-
10
(42)
-
(27)
-
-
-
-
443
(69)
\n
8,507
-
470
(0)
215
(135)
-
155
7
2
-
(4,942)
4,279
(114)
\n
Revalued
\n
amounts
\n
Real estate held
\n
for own use
185
(23)
(3)
-
(1)
(8)
-
4
(5)
-
-
(76)
73
(0)
\n
185
(23)
(3)
-
(1)
(8)
-
4
(5)
-
-
(76)
73
(0)
\n
Total assets at
\n
fair value
10,086
(24)
322
(99)
503
(199)
(34)
235
2
45
(384)
(5,092)
5,360
(115)
\n
Liabilities
\n
carried at fair
\n
value
\n
Investment
\n
contracts for
\n
account of
\n
policyholders
(6)
-
(26)
-
(559)
720
-
2
-
1
-
(105)
26
-
\n
Derivatives
3,437
-
(1,986)
-
-
(7)
-
150
-
-
-
(754)
840
-
\n
3,431
-
(2,012)
-
(559)
713
-
152
-
1
-
(859)
867
-
\n
1
\n
Includes impairments and movements related to fair value hedges. Gains and losses are recorded in the line item Results from financial transactions of the income
\n
statement.
\n
2
\n
Total gains and losses are recorded in line items: Gains / (losses) on revaluation of available-for-sale investments, (Gains) / losses transferred to the income statement on
\n
disposal and impairment of available-for-sale investments and Changes in revaluation reserve real estate held for own use of the statement of other comprehensive income.
\n
3
\n
Total gains / (losses) for the period during which the financial instrument was in Level III.
\n
Aegon Integrated Annual Report
2022 |
273
\n
Notes to the consolidated financial statements
Note 44
Assets carried at fair
\n
value
\n
At
\n
January
\n
1, 2021
\n
Total gains /
\n
losses in
\n
income
\n
statement
\n
1)
\n
Total
\n
gains /
\n
losses in
\n
OCI
\n
2)
\n
Purchas-
\n
es
Sales
\n
Settle-
\n
ments
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
Reclas-
\n
sifica-
\n
tion
\n
Transfers
\n
from
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
levels I
\n
and II
\n
At
\n
December
\n
31, 2021
\n
Total unrealized
\n
gains and (losses)
\n
for the period
\n
recorded in the
\n
P&L for
\n
instruments held
\n
at December 31,
\n
2021
\n
3)
\n
Available-for-sale
\n
Shares
173
1
3
30
(26)
(0)
11
-
-
-
191
-
\n
Debt securities
467
(1)
6
228
(29)
(46)
22
-
203
(246)
603
-
\n
Money markets and
\n
other short-term
\n
instruments
-
-
-
-
-
-
-
-
-
-
-
-
\n
Other investments at
\n
fair value
581
(113)
7
111
(24)
(6)
43
-
-
-
599
-
\n
1,221
(114)
16
368
(80)
(52)
77
-
203
(246)
1,393
-
\n
Fair value through
\n
profit or loss
\n
Shares
1,329
150
-
179
(316)
1
1
-
-
-
1,343
147
\n
Debt securities
242
(1)
-
124
(361)
(0)
-
-
-
-
5
1
\n
Other investments at
\n
fair value
2,173
796
-
492
(638)
-
186
-
-
-
3,010
(1)
\n
Investments for
\n
account of
\n
policyholders
1,012
206
(0)
(198)
(93)
-
22
-
-
(7)
943
162
\n
Derivatives
22
(17)
-
-
(4)
-
-
-
-
-
1
(10)
\n
Investments in real
\n
estate
2,385
253
-
48
(60)
-
3
14
-
-
2,643
253
\n
Investments in real
\n
estate for
\n
policyholders
467
46
-
60
(43)
-
32
-
-
-
563
66
\n
7,631
1,433
(0)
705
(1,514)
-
245
14
-
(7)
8,507
618
\n
Revalued amounts
\n
Real estate held for
\n
own use
209
(16)
(4)
6
-
(0)
5
(14)
-
-
185
1
\n
209
(16)
(4)
6
-
(0)
5
(14)
-
-
185
1
\n
Total assets at fair
\n
value
9,061
1,303
12
1,079
(1,594)
(52)
326
-
203
(253)
10,086
619
\n
Liabilities carried at
\n
fair value
\n
Investment contracts
\n
for account of
\n
policyholders
(12)
(1)
-
(361)
366
-
2
-
-
-
(6)
3
\n
Derivatives
4,902
(1,627)
-
-
(14)
-
176
-
-
-
3,437
607
\n
4,890
(1,628)
-
(361)
352
-
178
-
-
-
3,431
610
\n
1
\n
Includes impairments and movements related to fair value hedges. Gains and losses are recorded in the line item Results from financial transactions of the income statement.
\n
2
\n
Total gains and losses are recorded in line items: Gains / (losses) on revaluation of available-for-sale investments, (Gains) / losses transferred to the income statement on
\n
disposal and impairment of available-for-sale investments and Changes in revaluation reserve real estate held for own use of the statement of other comprehensive income.
\n
3
\n
Total gains / (losses) for the period during which the financial instrument was in Level III.
\n
During 2022, Aegon transferred certain financial instruments from Level I and II to Level III of the fair value hierarchy.
\n
The reason for the change in level was that the market liquidity for these securities decreased, which led to a change in market
\n
observability of prices. Prior to transfer, the fair value for the Level II securities was determined using observable market
\n
transactions or corroborated broker quotes respectively for the same or similar instruments. Since the transfer, all such
\n
assets have been valued using valuation models incorporating significant non market-observable inputs or uncorroborated
\n
broker quotes.
\n
Similarly, during 2022, Aegon transferred certain financial instruments from Level III to Level I and II of the fair value hierarchy.
\n
The change in level was mainly the result of a return of activity in the market for these securities and that for these securities
\n
the fair value could be determined using observable market transactions or corroborated broker quotes for the same or similar
\n
instruments.
\n
|
Aegon Integrated Annual Report
2022
274
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Valuation techniques and significant unobservable inputs
\n
The table below presents information about the significant unobservable inputs used for recurring fair value measurements for
\n
certain Level III financial instruments.
\n
Valuation technique
\n
1)
\n
Significant
\n
unobservable input
\n
2)
\n
December
\n
31, 2022
\n
4)
\n
Range
\n
(weighted
\n
average)
\n
December
\n
31, 2021
\n
Range
\n
(weighted
\n
average)
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
\n
Net asset value
n.a.
126
n.a.
166
n.a.
\n
Other
n.a.
5
n.a.
25
n.a.
\n
131
191
\n
Debt securities
\n
Broker quote
n.a.
66
n.a.
493
n.a.
\n
Discounted cash flow
Constant Prepayment Rate
2
40.53%
5
21.43%
\n
Discounted cash flow
Constant Prepayment Rate
-
-
22
9.95%
\n
Other
n.a.
148
n.a.
82
n.a.
\n
216
603
\n
Other investments at fair value
\n
Tax credit investments
Discounted cash flow
Discount rate
610
7.10%
541
7.09%
\n
Investment funds
Net asset value
n.a.
2
n.a.
3
n.a.
\n
Other
Other
n.a.
48
n.a.
56
n.a.
\n
660
599
\n
At December 31
1,008
1,393
\n
Fair value through profit or loss
\n
Shares
Other
n.a.
-
n.a.
1,343
n.a.
\n
Debt securities
Other
n.a.
-
n.a.
5
n.a.
\n
Debt securities
Discounted cash flow
Constant prepayment rate
-
7.80%
-
n.a.
\n
1
1,348
\n
Other investments at fair value
\n
Investment funds
Net asset value
n.a.
3,363
n.a.
2,944
n.a.
\n
Other
Other
n.a.
-
n.a.
66
n.a.
\n
3,363
3,010
\n
Total assets at fair value
\n
3)
\n
4,372
5,750
\n
Liabilities carried at fair value
\n
Derivatives
\n
Embedded derivatives in insurance
\n
contracts
Discounted cash flow
Own credit spread
836
0.45%
3,437
0.23%
\n
Other
Discounted cash flow
Other
4
n.a
-
-
\n
Total liabilities at fair value
840
-
3,437
\n
1
\n
Other in the table above (column Valuation technique) includes investments for which the fair value is uncorroborated and no broker quote is received.
\n
2
\n
Not applicable (n.a.) has been included when the unobservable inputs are not developed by the Group and are not reasonably available. Refer to the section Fair value
\n
measurement in this note for a detailed description of Aegon\u2019s methods of determining fair value and the valuation techniques.
\n
3
\n
Investments for account of policyholders are excluded from the table above and from the disclosure regarding reasonably possible alternative assumptions.
\n
Policyholder assets, and their returns, belong to policyholders and do not impact Aegon\u2019s net result or equity. The effect on total assets is offset by the effect on total
\n
liabilities.
\n
4
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
For reference purposes, the valuation techniques included in the table above are described in more detail
\n
on the following pages.
\n
Aegon Integrated Annual Report
2022 |
275
\n
Notes to the consolidated financial statements
Note 44
Effect of changes in significant unobservable assumptions to reasonably possible alternatives
\n
Own credit spread, as included in the discount rate for embedded derivatives in insurance contracts, is considered as a
\n
significant unobservable input. It is estimated that changing the other significant unobservable inputs to reflect reasonable
\n
possible alternatives in valuation would have no significant impact for the Group.
\n
An increase in own credit spread results in lower valuation, while a decrease results in a higher valuation of the embedded
\n
derivatives.
\n
The table below presents the impact on a fair value measurement of a change in the own credit spread by 5 basis points
\n
included in the discount rate.
\n
December
\n
31, 2022
\n
1)
\n
Effect of reasonably
\n
possible alternative
\n
assumptions (+/-)
\n
December
\n
31, 2021
\n
Effect of reasonably
\n
possible alternative
\n
assumptions (+/-)
\n
Increase
Decrease
Increase
Decrease
\n
Financial liabilities carried at fair value
\n
Embedded derivatives in insurance contracts
836
16
(16)
3,437
39
(39)
\n
1
\n
2022 excludes the liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Fair value information about assets and liabilities not measured at fair value
\n
The following table presents the carrying values and estimated fair values of assets and liabilities, excluding assets and
\n
liabilities which are carried at fair value on a recurring basis.
\n
2022
\n
Carrying
\n
amount
\n
December 31,
\n
2022
\n
1)
\n
Estimated fair value hierarchy
\n
Total estimated
\n
fair value
\n
December 31,
\n
2022
\n
1)
\n
Level I
Level II
Level III
\n
Assets
\n
Mortgage loans - held at amortized cost
10,441
-
1
9,244
9,245
\n
Private loans - held at amortized cost
27
-
15
-
15
\n
Other loans - held at amortized cost
2,088
39
2,049
-
2,088
\n
Liabilities
\n
Subordinated borrowings - held at amortized cost
2,295
1,372
663
-
2,035
\n
Trust pass-through securities - held at amortized cost
118
-
133
-
133
\n
Borrowings \u2013 held at amortized cost
4,051
1,289
2,825
-
4,114
\n
Investment contracts - held at amortized cost
10,485
-
-
9,410
9,410
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Carrying
\n
amount
\n
December 31,
\n
2021
Estimated fair value hierarchy
\n
Total estimated
\n
fair value
\n
December 31,
\n
2021
\n
Level I
Level II
Level III
\n
Assets
\n
Mortgage loans - held at amortized cost
40,624
-
1
44,366
44,366
\n
Private loans - held at amortized cost
4,883
-
34
5,457
5,491
\n
Other loans - held at amortized cost
1,949
21
1,923
5
1,949
\n
Liabilities
\n
Subordinated borrowings - held at amortized cost
2,194
1,567
872
-
2,438
\n
Trust pass-through securities - held at amortized cost
126
-
139
-
139
\n
Borrowings \u2013 held at amortized cost
9,661
1,735
2,662
5,773
10,171
\n
Investment contracts - held at amortized cost
21,573
-
-
20,861
20,861
\n
Certain financial instruments that are not carried at fair value are carried at amounts that approximate fair value, due to their
\n
short-term nature and generally negligible credit risk. These instruments include cash and cash equivalents, short-term
\n
|
Aegon Integrated Annual Report
2022
276
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
receivables and accrued interest receivable, short-term liabilities, and accrued liabilities. These instruments are not included
\n
in the table above.
\n
Fair value measurement
\n
The description of Aegon's methods of determining fair value and the valuation techniques are described
\n
on the following pages.
\n
Shares
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its investments in shares.
\n
For Level III unquoted shares, the net asset value can be considered the best approximation to the fair value. Net asset value
\n
is the value of an entity's assets minus the value of its liabilities and may be the same as the book value or the equity value
\n
of the entity.
\n
Also for unquoted shares, the fair value may be estimated using other methods, such as observations of the price/earnings
\n
or price/cash flow ratios of quoted companies considered comparable to the companies being valued. Valuations are adjusted
\n
to account for company-specific issues and the lack of liquidity inherent in an unquoted investment. Adjustments for lack
\n
of liquidity are generally based on available market evidence. In addition, a variety of other factors are reviewed by management,
\n
including, but not limited to, current operating performance, changes in market outlook and the third-party financing
\n
environment.
\n
Available-for-sale shares include shares in a Federal Home Loan Bank (FHLB) for an amount of EUR 124 million (2021:
\n
EUR 112 million), which are reported as part of the line-item Net asset value. A FHLB has implicit financial support from
\n
the United States government. The redemption value of the shares is fixed at par and they can only be redeemed by the FHLB.
\n
Debt securities
\n
The fair values of debt securities are determined by management after taking into consideration several sources of data.
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its debt securities. As stated
\n
previously, Aegon\u2019s valuation policy utilizes a pricing hierarchy which dictates that publicly available prices are initially sought
\n
from indices and third-party pricing services. In the event that pricing is not available from these sources, those securities are
\n
submitted to brokers to obtain quotes, the majority of which are non-binding. As part of the pricing process, Aegon assesses
\n
the appropriateness of each quote (i.e. as to whether the quote is based on observable market transactions or not) to determine
\n
the most appropriate estimate of fair value.
\n
When broker quotes are not available, securities are priced using internal cash flow modeling techniques. These valuation
\n
methodologies commonly use the following inputs: reported trades, bids, offers, issuer spreads, benchmark yields, estimated
\n
prepayment speeds, issue specific credit adjustments, indicative quotes from market makers and/or estimated cash flows.
\n
To understand the valuation methodologies used by third-party pricing services Aegon reviews and monitors the applicable
\n
methodology documents of the third-party pricing services. Any changes to their methodologies are noted and reviewed for
\n
reasonableness. In addition, Aegon performs in-depth reviews of prices received from third-party pricing services on a sample
\n
basis. The objective for such reviews is to demonstrate that Aegon can corroborate detailed information such as assumptions,
\n
inputs and methodologies used in pricing individual securities against documented pricing methodologies. Only third-party
\n
pricing services and brokers with a substantial presence in the market and with appropriate experience and expertise are used.
\n
Third-party pricing services will often determine prices using recently reported trades for identical or similar securities.
\n
The third-party pricing service makes adjustments for the elapsed time from the trade date to the reporting date to take into
\n
account available market information. Lacking recently reported trades, third-party pricing services and brokers will use
\n
modeling techniques to determine a security price where expected future cash flows are developed based on the performance
\n
of the underlying collateral and discounted using an estimated market rate.
\n
Periodically, Aegon performs an analysis of the inputs obtained from third-party pricing services and brokers to ensure that
\n
the inputs are reasonable and produce a reasonable estimate of fair value. Aegon\u2019s asset specialists and investment valuation
\n
specialists consider both qualitative and quantitative factors as part of this analysis. Several examples of analytical procedures
\n
performed include, but are not limited to, recent transactional activity for similar debt securities, review of pricing statistics and
\n
trends and consideration of recent relevant market events. Other controls and procedures over pricing received from indices,
\n
third-party pricing services, or brokers include validation checks such as exception reports which highlight significant price
\n
Aegon Integrated Annual Report
2022 |
277
\n
Notes to the consolidated financial statements
Note 44
changes, stale prices or unpriced securities. Additionally, Aegon performs back testing on a sample basis. Back testing involves
\n
selecting a sample of securities trades and comparing the prices in those transactions to prices used for financial reporting.
\n
Significant variances between the price used for financial reporting and the transaction price are investigated to explain
\n
the cause of the difference.
\n
Credit ratings are also an important consideration in the valuation of securities and are included in the internal process
\n
for determining Aegon\u2019s view of the risk associated with each security. However, Aegon does not rely solely on external
\n
credit ratings and there is an internal process, based on market observable inputs, for determining Aegon\u2019s view of the risks
\n
associated with each security.
\n
Aegon\u2019s portfolio of private placement securities (held at fair value under the classification of available-for-sale or fair value
\n
through profit or loss) is valued using a matrix pricing methodology. The pricing matrix is obtained from a third-party service
\n
provider and indicates current spreads for securities based on weighted average life, credit rating, and industry sector. Each
\n
month, Aegon\u2019s asset specialists review the matrix to ensure the spreads are reasonable by comparing them to observed
\n
spreads for similar bonds traded in the market. Other inputs to the valuation include coupon rate, the current interest rate
\n
curve used for discounting and a liquidity premium to account for the illiquid nature of these securities. The liquidity premiums
\n
are determined based upon the pricing of recent transactions in the private placements market; comparing the value
\n
of the privately offered security to a similar public security. The impact of the liquidity premium for private placement securities
\n
to the overall valuation is insignificant.
\n
Aegon's portfolio of debt securities can be subdivided into Residential mortgage-backed securities (RMBS), Commercial
\n
mortgage-backed securities (CMBS), Asset-backed securities (ABS), Corporate bonds and Government debt. Below relevant
\n
details of the valuation methodologies for these specific types of debt securities are described.
\n
Residential mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities
\n
Valuations of RMBS, CMBS and ABS are monitored and reviewed on a monthly basis. Valuations per asset type are based on a
\n
pricing hierarchy which uses a waterfall approach that starts with market prices from indices and follows with third-party pricing
\n
services or brokers. The pricing hierarchy is dependent on the possibilities of corroboration of the market prices. If no market
\n
prices are available, Aegon uses internal models to determine fair value. Significant inputs included in the internal models are
\n
generally determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral
\n
and risk profiles. Market standard models may be used to model the specific collateral composition and cash flow structure
\n
of each transaction. The most significant unobservable input is the liquidity premium which is embedded in the discount rate.
\n
Aegon the Netherlands has mandated Aegon Asset Management to invest in RMBS transactions. Aegon Asset Management
\n
uses its own proprietary cash flow tools to analyze and stress test RMBS transactions. The key input parameters are default
\n
rates and loss given default assumptions, which are established based on historical pool characteristics and current
\n
loan level data.
\n
Corporate bonds
\n
Valuations of corporate bonds are monitored and reviewed on a monthly basis. The pricing hierarchy is dependent
\n
on the possibility of corroboration of market prices when available. If no market prices are available, valuations are determined
\n
by a discounted cash flow methodology using an internally calculated yield. The yield is comprised of a credit spread over
\n
a given benchmark. In all cases the benchmark is an observable input. The credit spread contains both observable and
\n
unobservable inputs. Aegon starts by taking an observable credit spread from a similar bond of the given issuer, and then
\n
adjust this spread based on unobservable inputs. These unobservable inputs may include subordination, liquidity and maturity
\n
differences. During 2022, there were no corporate bonds that met the policy threshold to be internally modeled.
\n
Government debt
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its government debt
\n
investments. When Aegon cannot make use of quoted market prices, market prices from indices or quotes from third-party
\n
pricing services or brokers are used.
\n
Money market and other short-term investments and deposits with financial institutions
\n
The fair value of assets maturing within a year is assumed to be approximated by their carrying amount adjusted for
\n
credit risk where appropriate. Credit risk adjustments are based on market observable credit spreads if available,
\n
or management\u2019s estimate if not market observable.
\n
|
Aegon Integrated Annual Report
2022
278
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Tax credit investments
\n
The Level III fair value of tax credit investments is determined by using a discounted cash flow valuation technique. This
\n
valuation technique takes into consideration projections of future capital contributions and distributions, as well as future
\n
tax credits and the tax benefits of future operating losses. The present value of these cash flows is calculated by applying
\n
a discount rate. In general, the discount rate is determined based on the cash outflows for the investments and the cash inflows
\n
from the tax credits and/or tax benefits (and the timing of these cash flows). These inputs are unobservable in the market place.
\n
The discount rate used in valuation of tax credit investments remained stable at 7.1% (December 31, 2021: 7.1%).
\n
Investment funds: Real estate funds, private equity funds and hedge funds
\n
The fair values of investments held in non-quoted investment funds are determined by management after taking into
\n
consideration information provided by the fund managers. Aegon reviews the valuations each month and performs analytical
\n
procedures and trending analyses to ensure the fair values are appropriate. The net asset value is considered the best valuation
\n
method that approximates the fair value of the funds.
\n
Mortgage loans, policy loans and private loans
(held at amortized cost)
\n
For private loans, fixed interest mortgage loans and other loans originated by the Group, the fair value used for disclosure
\n
purposes is estimated by discounting expected future cash flows using a current market rate applicable to financial
\n
instruments with similar yield and maturity characteristics. For fixed interest mortgage loans, the market rate is adjusted
\n
for expenses, prepayment rates, lapse assumptions (unobservable inputs), liquidity and credit risk (market observable
\n
inputs). An increase in expense spread, prepayment rates and/or prepayment assumptions, would decrease the fair value
\n
of the mortgage loan portfolio.
\n
The fair value of floating interest rate mortgage loans, policy loans and private placements used for disclosure purposes
\n
is assumed to be approximated by their carrying amount, adjusted for changes in credit risk. Credit risk adjustments are based
\n
on market observable credit spreads if available, or management\u2019s estimate if not market observable.
\n
Derivatives
\n
Where quoted market prices are not available, other valuation techniques, such as option pricing or stochastic modeling,
\n
are applied. The valuation techniques incorporate all factors that a typical market participant would consider and are based
\n
on observable market data when available. Models are validated before they are used and calibrated to ensure that outputs
\n
reflect actual experience and comparable market prices.
\n
Fair values for exchange-traded derivatives, principally futures and certain options, are based on quoted market prices in active
\n
markets. Fair values for over-the-counter (OTC) derivative financial instruments represent amounts estimated to be received
\n
from or paid to a third party in settlement of these instruments. These derivatives are valued using pricing models based
\n
on the net present value of estimated future cash flows, directly observed prices from exchange-traded derivatives, other
\n
OTC trades, or external pricing services. Most valuations are derived from swap and volatility matrices, which are constructed
\n
for applicable indices and currencies using current market data from many industry standard sources. Option pricing
\n
is based on industry standard valuation models and current market levels, where applicable. The pricing of complex or illiquid
\n
instruments is based on internal models or an independent third party. For long-dated illiquid contracts, extrapolation methods
\n
are applied to observed market data in order to estimate inputs and assumptions that are not directly observable. To value OTC
\n
derivatives, management uses observed market information, other trades in the market and dealer prices.
\n
Some OTC derivatives are so-called longevity derivatives. The payout of longevity derivatives is linked to publicly
\n
available mortality tables. The derivatives are measured using the present value of the best estimate of expected payouts
\n
of the derivative plus a risk margin. The best estimate of expected payouts is determined using best estimate of mortality
\n
developments. Aegon determined the risk margin by stressing the best estimate mortality developments to quantify the risk
\n
and applying a cost-of-capital methodology. Depending on the duration of the longevity swaps either the projected mortality
\n
development or discount rate are the most significant unobservable inputs.
\n
Aegon normally mitigates counterparty credit risk in derivative contracts by entering into collateral agreements where practical
\n
and in ISDA master netting agreements for each of the Group\u2019s legal entities to facilitate Aegon\u2019s right to offset credit risk
\n
exposure. Changes in the fair value of derivatives attributable to changes in counterparty credit risk were not significant.
\n
Aegon Integrated Annual Report
2022 |
279
\n
Notes to the consolidated financial statements
Note 44
Embedded derivatives in insurance contracts including guarantees
\n
Bifurcated guarantees for minimum benefits in insurance and investment contracts are carried at fair value. These guarantees
\n
include Guaranteed minimum withdrawal benefits (GMWB) in the United States and United Kingdom which are offered on some
\n
variable annuity products and are also assumed from a ceding company; minimum investment return guarantees on insurance
\n
products offered in the Netherlands, including group pension and traditional products; variable annuities sold in Europe.
\n
Since the price of these guarantees is not quoted in any market, the fair values of these guarantees are based on discounted
\n
cash flows calculated as the present value of future expected payments to policyholders less the present value of assessed
\n
rider fees attributable to the guarantees. Given the complexity and long-term nature of these guarantees which are unlike
\n
instruments available in financial markets, their fair values are determined by using stochastic models under a variety of market
\n
return scenarios. A variety of factors are considered, including own credit spread, expected market rates of return, equity
\n
and interest rate volatility, correlations of market returns, discount rates and actuarial assumptions. The most significant
\n
unobservable factor is own credit spread. The weighted average own credit spread used in the valuations of embedded
\n
derivatives in insurance contracts increased to 0.45% (2021: 0.23%).
\n
The expected returns are based on risk-free rates. Aegon added a premium to reflect the credit spread as required. The credit
\n
spread is set by using the Credit default swap (CDS) spreads of a reference portfolio of life insurance companies (including
\n
Aegon), adjusted to reflect the subordination of senior debt holders at the holding company level to the position of policyholders
\n
at the operating company level (who have priority in payments over other creditors). Aegon\u2019s assumptions are set by region
\n
to reflect differences in the valuation of the guarantee embedded in the insurance contracts.
\n
Aegon extrapolates yield curves beyond market observable maturities. The discount rates converge linearly in 10 years
\n
to an Ultimate Forward Rate. In the Netherlands, the ultimate forward rate is 3.65% from the last liquid point. The US ultimate
\n
forward rate extrapolates linearly beyond 30 years using an average of forward interest rates implied by the market between
\n
20 years and 30 years. In the US, the ultimate forward rate is 3.50% from the last liquid point. The uniform last liquid point for all
\n
Aegon\u2019s major currencies (EUR, USD and GBP) is set at 30 years.
\n
Since many of the assumptions are unobservable and are considered to be significant inputs to the liability valuation,
\n
the liability included in future policy benefits has been reflected within Level III of the fair value hierarchy. Refer to note
\n
36 Guarantees in insurance contracts for more details about Aegon\u2019s guarantees.
\n
Real estate
\n
Valuations of Level III investments in real estate and real estate held for own use are conducted in full by independent external
\n
appraisers at least every three to five years and reviewed at least once a year by qualified internal appraisers to ensure
\n
the value correctly reflects the fair value at the reporting date. Appraisals are different for each specific local market, but
\n
are based on market guidelines such as International Valuation Standards, Uniform Standards of Professional Appraisal
\n
Practice or guidelines issued by the Investment Property Databank. Valuations are mostly based on active market prices,
\n
adjusted for any difference in the nature, location or condition of the specific property. If such information is not available, other
\n
valuation methods are applied, considering the value that the property\u2019s net earning power will support, the value indicated
\n
by recent sales of comparable properties and the current cost of reproducing or replacing the property. Discount rates used
\n
in the valuation of real estate reflect the risk embedded in the projected cash flows for the asset being valued. Capitalization
\n
rates represent the income rate for a real estate property that reflects the relationship between a single year\u2019s net operating
\n
income expectancy and the total property price or value. For property held for own use, appraisers consider the present value
\n
of the future rental income cash flows that could be achieved had the real estate been rented to a third party.
\n
Trust pass-through securities and subordinated borrowings
\n
Trust pass-through securities and subordinated borrowings are either carried at fair value (if they are designated as financial
\n
liabilities at fair value through profit or loss) or amortized cost (with fair value being disclosed in the notes to the consolidated
\n
financial statements). For the determination of the fair value of these instruments, the level hierarchy as described by EU-IFRS
\n
is used. The preferred method of obtaining the fair value of the fair value option bonds is the quoted price (Level I). In case
\n
markets are less liquid or the quoted prices are not available, Aegon\u2019s valuation policy utilizes a pricing hierarchy which dictates
\n
that publicly available prices are initially sought from indices and third-party pricing services. The US trust pass-through
\n
securities and subordinated borrowings are classified as Level II of the fair value hierarchy.
\n
|
Aegon Integrated Annual Report
2022
280
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Investment contracts
\n
Investment contracts issued by Aegon are either carried at fair value (if they are designated as financial liabilities at fair value
\n
through profit or loss) or amortized cost (with fair value being disclosed in the notes to the consolidated financial statements).
\n
These contracts are not quoted in active markets and their fair values are determined by using valuation techniques, such
\n
as discounted cash flow methods and stochastic modeling or in relation to the unit price of the underlying assets. All models
\n
are validated and calibrated. A variety of factors are considered, including time value, volatility, policyholder behavior, servicing
\n
costs and fair values of similar instruments.
\n
Similar to embedded derivatives in insurance contracts, certain investment products are not quoted in active markets and their
\n
fair values are determined by using valuation techniques. Because of the dynamic and complex nature of these cash flows,
\n
stochastic or similar techniques under a variety of market return scenarios are often used. A variety of factors are considered,
\n
including expected market rates of return, market volatility, correlations of market returns, discount rates and actuarial
\n
assumptions.
\n
The expected returns are based on risk-free rates, such as the current Secured Overnight Financing Rate (SOFR) swap
\n
rates and associated forward rates, the Overnight Index Swap (OIS) curve or the current rates on local government bonds.
\n
London Interbank Offered Rate (LIBOR) was replaced with SOFR in the second quarter of 2022. Market volatility assumptions
\n
for each underlying index are based on observed market implied volatility data and/or observed market performance.
\n
Correlations of market returns for various underlying indices are based on observed market returns and their inter-relationships
\n
over a number of years preceding the valuation date. Current risk-free spot rates are used to determine the present value
\n
of expected future cash flows produced in the stochastic projection process.
\n
Assumptions on customer behavior, such as lapses, included in the models are derived in the same way as the assumptions
\n
used to measure insurance liabilities.
\n
Summary of total financial assets and financial liabilities at fair value through profit or loss
\n
The table that follows summarizes the carrying amounts of financial assets and financial liabilities that are classified as at fair
\n
value through profit or loss, with appropriate distinction between those financial assets and financial liabilities held for trading
\n
and those that, upon initial recognition, were designated as at fair value through profit or loss.
\n
2022
\n
1)
\n
2021
\n
Trading
Designated
Trading
Designated
\n
Investments for general account
41
4,527
41
8,440
\n
Investments for account of policyholders
-
179,563
-
250,390
\n
Derivatives with positive values not designated as hedges
2,434
-
8,184
-
\n
Total financial assets at fair value through profit or loss
2,475
184,089
8,225
258,830
\n
Investment contracts for account of policyholders
-
55,254
-
71,242
\n
Derivatives with negative values not designated as hedges
4,877
-
8,959
-
\n
Total financial liabilities at fair value through profit or loss
4,877
55,254
8,959
71,242
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Investments for general account
\n
The Group manages certain portfolios on a total return basis which have been designated at fair value through profit or loss.
\n
This includes portfolios of investments in limited partnerships and limited liability companies (primarily hedge funds and private
\n
equity funds) for which the performance is assessed internally on a total return basis. In addition, some investments for general
\n
account that include an embedded derivative that would otherwise have required bifurcation, such as convertible instruments,
\n
preferred shares and credit linked notes, have been designated at fair value through profit or loss.
\n
Aegon has certain insurance and investment liabilities that are carried at fair value with changes in the fair value recognized
\n
in the income statement. The Group has elected to designate the investments backing those liabilities at fair value through
\n
profit or loss, as a classification of available-for-sale would result in accumulation of unrealized gains and losses in a revaluation
\n
reserve within equity whilst changes to the liability would be reflected in net result (accounting mismatch).
\n
Investments for account of policyholders
\n
Investments held for account of policyholders comprise assets that are linked to various insurance and investment contracts
\n
for which the financial risks are borne by the customer. Under the Group\u2019s accounting policies these insurance and investment
\n
Aegon Integrated Annual Report
2022 |
281
\n
Notes to the consolidated financial statements
Note 44
liabilities are measured at the fair value of the linked assets with changes in the fair value recognized in the income statement.
\n
To avoid an accounting mismatch the linked assets have been designated as at fair value through profit or loss.
\n
In addition, the investment for account of policyholders include with profit assets, where Aegon manages these assets
\n
together with related liabilities on a fair value basis in accordance with a documented policy of asset and liability management.
\n
In accordance with the Group\u2019s accounting policies, these assets have been designated as at fair value through profit or loss.
\n
Investment contracts for account of policyholders
\n
With the exception of the financial liabilities with discretionary participating features that are not subject to the classification
\n
and measurement requirements for financial instruments, all investment contracts for account of policyholders that are carried
\n
at fair value or at the fair value of the linked assets are included in the table above.
\n
Derivatives
\n
With the exception of derivatives designated as a hedging instrument, all derivatives held for general account and held for
\n
account of policyholders are included in the table above.
\n
Borrowings
\n
Borrowings designated as at fair value through profit or loss includes financial instruments that are managed on a fair value
\n
basis together with related financial assets and financial derivatives (refer to note 37 Borrowings).
\n
Gains and losses on financial assets and financial liabilities classified at fair value through profit or loss
\n
Gains and losses recognized in the income statement on financial assets and financial liabilities classified as at fair value
\n
through profit or loss can be summarized as follows:
\n
2022
\n
1)
\n
2021
\n
Trading
Designated
Trading
Designated
\n
Net gains and (losses)
469
(35,054)
(2,930)
25,591
\n
1
\n
2022 excludes the disposal group, which is separately disclosed in note 51 Discontinued operations.
\n
No loans and receivables were designated at fair value through profit or loss.
\n
Changes in the fair value of investment contracts for account of policyholders designated at fair value through profit or loss
\n
were not attributable to changes in Aegon\u2019s credit spread. There are also no differences between the carrying amounts of these
\n
financial liabilities and the contractual amounts payable at maturity (net of surrender penalties).
\n
Refer to note 37 Borrowings for the impact of Aegon\u2019s own credit spread on the fair value of the borrowings designated at fair
\nvalue through profit or loss. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfFairValueMeasurementExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f37241": {
"value": "44 Fair value
The estimated fair values of Aegon\u2019s assets and liabilities correspond with the amounts that would be received to sell an asset
\n
or paid to transfer a liability in an orderly transaction between market participants at the measurement date. When available,
\n
Aegon uses quoted market prices in active markets to determine the fair value of investments and derivatives. In the absence
\n
of an active market, the fair value of investments in financial assets is estimated by using other market observable data,
\n
such as corroborated external quotes and present value or other valuation techniques. An active market is one in which
\n
transactions are taking place regularly on an arm\u2019s length basis. Fair value is not determined based upon a forced liquidation
\n
or distressed sale.
\n
Valuation techniques are used when Aegon determines the market is inactive or quoted market prices are not available for
\n
the asset or liability at the measurement date. However, the fair value measurement objective remains the same, that is,
\n
to estimate the price at which an orderly transaction to sell the asset or to transfer the liability would take place between
\n
market participants at the measurement date under current market conditions (i.e. an exit price at the measurement date
\n
from the perspective of a market participant that holds the asset or owes the liability). Therefore, unobservable inputs reflect
\n
Aegon\u2019s own assumptions about the assumptions that market participants would use in pricing the asset or liability (including
\n
assumptions about risk). These inputs are developed based on the best information available.
\n
Aegon employs an oversight structure over valuation of financial instruments that includes appropriate segregation of duties.
\n
Senior management, independent of the investing functions, is responsible for the oversight of control and valuation policies
\n
and for reporting the results of these policies. For fair values determined by reference to external quotation or evidenced
\n
pricing parameters, independent price determination or validation is utilized to corroborate those inputs. Further details
\n
of the validation processes are set out below.
\n
Valuation of assets and liabilities is based on a pricing hierarchy, in order to maintain a controlled process that will
\n
systematically promote the use of prices from sources in which Aegon has the most confidence, where the least amount
\n
of manual intervention exists and to embed consistency in the selection of price sources. Depending on asset type the pricing
\n
hierarchy consists of a waterfall that starts with making use of market prices from indices and follows with making use of third-
\n
party pricing services or brokers.
\n
|
Aegon Integrated Annual Report
2022
270
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Fair value hierarchy
\n
The table below provides an analysis of assets and liabilities recorded at fair value on a recurring basis by level of the fair value
\n
hierarchy. The decrease in assets and liabilities in 2022 is mainly the result of the classification of Aegon the Netherlands
\n
as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
Level I
Level II
Level III
Total 2022
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
22
42
131
195
\n
Debt securities
6,624
46,254
215
53,093
\n
Money market and other short-term instruments
3,639
1,874
1
5,514
\n
Other investments at fair value
-
180
660
840
\n
10,284
48,351
1,008
59,643
\n
Fair value through profit or loss
\n
Shares
144
49
-
193
\n
Debt securities
12
541
1
554
\n
Money market and other short-term instruments
42
57
-
99
\n
Other investments at fair value
1
358
3,363
3,722
\n
Investments for account of policyholders
\n
1)
\n
87,358
91,799
402
179,559
\n
Derivatives
33
2,717
11
2,760
\n
Investments in real estate
-
-
59
59
\n
Investments in real estate for policyholders
-
-
443
443
\n
87,590
95,520
4,279
187,389
\n
Revalued amounts
\n
Real estate held for own use
-
-
73
73
\n
-
-
73
73
\n
Total assets at fair value
97,874
143,870
5,360
247,104
\n
Liabilities carried at fair value
\n
-
-
-
-
\n
Investment contracts for account of policyholders
\n
2)
\n
-
55,228
26
55,254
\n
Derivatives
51
5,202
840
6,094
\n
Total liabilities at fair value
51
60,430
867
61,348
\n
1
\n
The investments for account of policyholders include investments carried at fair value through profit or loss.
\n
2
\n
The investment contracts for account of policyholders represents only those investment contracts carried at fair value.
\n
Aegon Integrated Annual Report
2022 |
271
\n
Notes to the consolidated financial statements
Note 44
Level I
Level II
Level III
Total 2021
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
84
75
191
350
\n
Debt securities
25,166
68,131
603
93,899
\n
Money market and other short-term instruments
1,204
3,586
-
4,790
\n
Other investments at fair value
-
246
599
844
\n
26,453
72,038
1,393
99,884
\n
Fair value through profit or loss
\n
Shares
85
237
1,343
1,665
\n
Debt securities
130
3,161
5
3,296
\n
Money market and other short-term instruments
18
102
-
120
\n
Other investments at fair value
2
389
3,010
3,401
\n
Investments for account of policyholders
\n
1)
\n
129,794
119,653
943
250,390
\n
Derivatives
150
8,676
1
8,827
\n
Investments in real estate
-
-
2,643
2,643
\n
Investments in real estate for policyholders
-
-
563
563
\n
130,178
132,219
8,507
270,904
\n
Revalued amounts
\n
Real estate held for own use
-
-
185
185
\n
-
-
185
185
\n
Total assets at fair value
156,631
204,256
10,086
370,974
\n
Liabilities carried at fair value
\n
Investment contracts for account of policyholders
\n
2)
\n
-
71,249
(6)
71,242
\n
Derivatives
39
7,162
3,437
10,639
\n
Total liabilities at fair value
39
78,411
3,431
81,881
\n
1
\n
The investments for account of policyholders include investments carried at fair value through profit or loss.
\n
2
\n
The investment contracts for account of policyholders represents only those investment contracts carried at fair value.
\n
Significant transfers between Level I, Level II and Level III
\n
Aegon\u2019s policy is to record transfers of assets and liabilities between Level I, Level II and Level III at their fair values as of
\n
the beginning of each reporting period.
\n
The table below shows transfers between Level I and Level II for financial assets and financial liabilities recorded at fair value
\n
on a recurring basis.
\n
Total 2022
\n
1)
\n
Total 2021
\n
Transfers Level I
\n
to Level II
\n
Transfers Level II
\n
to Level I
\n
Transfers Level I
\n
to Level II
\n
Transfers Level II
\n
to Level I
\n
Assets carried at fair value
\n
Available-for-sale
\n
Debt securities
23
5
44
32
\n
Money markets and other short-term instruments
-
721
-
-
\n
23
726
44
32
\n
Fair value through profit or loss
\n
Shares
10
128
-
-
\n
Money markets and other short-term instruments
-
13
-
-
\n
Investments for account of policyholders
-
40
-
-
\n
10
181
-
-
\n
Total assets at fair value
34
907
44
32
\n
-
-
\n
Total Liabilities carried at fair value
-
-
-
-
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Transfers are identified based on transaction volume and frequency, which are indicative of an active market.
\n
|
Aegon Integrated Annual Report
2022
272
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Movements in Level III financial instruments measured at fair value
\n
The following table summarizes the change of all assets and liabilities measured at estimated fair value on a recurring basis
\n
using significant unobservable inputs (Level III), including realized and unrealized gains (losses) of all assets and liabilities and
\n
unrealized gains (losses) of all assets and liabilities still held at the end of the respective period.
\n
Assets carried at
\n
fair value
\n
At
\n
January
\n
1, 2022
\n
Disposal
\n
of a
\n
busi-
\n
ness
\n
Total
\n
gains /
\n
losses in
\n
income
\n
state-
\n
ment
\n
1)
\n
Total
\n
gains /
\n
losses
\n
in OCI
\n
2)
\n
Pur-
\n
chases
Sales
\n
Settle-
\n
ments
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
Reclas-
\n
sifica-
\n
tion
\n
Trans-
\n
fers
\n
from
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
disposal
\n
groups
\n
At
\n
Decem-
\n
ber 31,
\n
2022
\n
Total unrealized
\n
gains and (losses)
\n
for the period
\n
recorded in the
\n
P&L for
\n
instruments held
\n
at December 31,
\n
2022
\n
3)
\n
Available-for-
\n
sale
\n
Shares
191
(0)
(1)
(35)
(4)
(10)
-
12
-
-
-
(21)
131
-
\n
Debt securities
603
-
(1)
(88)
124
(34)
(21)
26
-
43
(384)
(54)
215
-
\n
Money markets
\n
and other
\n
short-term
\n
instruments
-
-
(0)
1
-
-
-
(0)
-
-
-
-
1
-
\n
Other
\n
investments at
\n
fair value
599
-
(142)
22
168
(12)
(14)
39
-
-
-
-
660
-
\n
1,393
(0)
(145)
(100)
289
(56)
(34)
77
-
43
(384)
(75)
1,008
-
\n
Fair value
\n
through profit
\n
or loss
\n
Shares
1,343
-
170
-
190
(345)
-
-
-
-
-
(1,357)
-
-
\n
Debt securities
5
-
(1)
-
44
(3)
-
-
-
-
-
(44)
1
(1)
\n
Other
\n
investments at
\n
fair value
3,010
-
361
-
444
(578)
-
190
-
-
-
(64)
3,363
-
\n
Investments for
\n
account of
\n
policyholders
943
-
41
(0)
(515)
873
-
(10)
-
2
-
(932)
402
(55)
\n
Derivatives
1
-
10
-
-
-
-
(0)
-
-
-
-
11
10
\n
Investments in
\n
real estate
2,643
-
(51)
-
42
(40)
-
3
7
-
-
(2,545)
59
1
\n
Investments in
\n
real estate for
\n
policyholders
563
-
(61)
-
10
(42)
-
(27)
-
-
-
-
443
(69)
\n
8,507
-
470
(0)
215
(135)
-
155
7
2
-
(4,942)
4,279
(114)
\n
Revalued
\n
amounts
\n
Real estate held
\n
for own use
185
(23)
(3)
-
(1)
(8)
-
4
(5)
-
-
(76)
73
(0)
\n
185
(23)
(3)
-
(1)
(8)
-
4
(5)
-
-
(76)
73
(0)
\n
Total assets at
\n
fair value
10,086
(24)
322
(99)
503
(199)
(34)
235
2
45
(384)
(5,092)
5,360
(115)
\n
Liabilities
\n
carried at fair
\n
value
\n
Investment
\n
contracts for
\n
account of
\n
policyholders
(6)
-
(26)
-
(559)
720
-
2
-
1
-
(105)
26
-
\n
Derivatives
3,437
-
(1,986)
-
-
(7)
-
150
-
-
-
(754)
840
-
\n
3,431
-
(2,012)
-
(559)
713
-
152
-
1
-
(859)
867
-
\n
1
\n
Includes impairments and movements related to fair value hedges. Gains and losses are recorded in the line item Results from financial transactions of the income
\n
statement.
\n
2
\n
Total gains and losses are recorded in line items: Gains / (losses) on revaluation of available-for-sale investments, (Gains) / losses transferred to the income statement on
\n
disposal and impairment of available-for-sale investments and Changes in revaluation reserve real estate held for own use of the statement of other comprehensive income.
\n
3
\n
Total gains / (losses) for the period during which the financial instrument was in Level III.
\n
Aegon Integrated Annual Report
2022 |
273
\n
Notes to the consolidated financial statements
Note 44
Assets carried at fair
\n
value
\n
At
\n
January
\n
1, 2021
\n
Total gains /
\n
losses in
\n
income
\n
statement
\n
1)
\n
Total
\n
gains /
\n
losses in
\n
OCI
\n
2)
\n
Purchas-
\n
es
Sales
\n
Settle-
\n
ments
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
Reclas-
\n
sifica-
\n
tion
\n
Transfers
\n
from
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
levels I
\n
and II
\n
At
\n
December
\n
31, 2021
\n
Total unrealized
\n
gains and (losses)
\n
for the period
\n
recorded in the
\n
P&L for
\n
instruments held
\n
at December 31,
\n
2021
\n
3)
\n
Available-for-sale
\n
Shares
173
1
3
30
(26)
(0)
11
-
-
-
191
-
\n
Debt securities
467
(1)
6
228
(29)
(46)
22
-
203
(246)
603
-
\n
Money markets and
\n
other short-term
\n
instruments
-
-
-
-
-
-
-
-
-
-
-
-
\n
Other investments at
\n
fair value
581
(113)
7
111
(24)
(6)
43
-
-
-
599
-
\n
1,221
(114)
16
368
(80)
(52)
77
-
203
(246)
1,393
-
\n
Fair value through
\n
profit or loss
\n
Shares
1,329
150
-
179
(316)
1
1
-
-
-
1,343
147
\n
Debt securities
242
(1)
-
124
(361)
(0)
-
-
-
-
5
1
\n
Other investments at
\n
fair value
2,173
796
-
492
(638)
-
186
-
-
-
3,010
(1)
\n
Investments for
\n
account of
\n
policyholders
1,012
206
(0)
(198)
(93)
-
22
-
-
(7)
943
162
\n
Derivatives
22
(17)
-
-
(4)
-
-
-
-
-
1
(10)
\n
Investments in real
\n
estate
2,385
253
-
48
(60)
-
3
14
-
-
2,643
253
\n
Investments in real
\n
estate for
\n
policyholders
467
46
-
60
(43)
-
32
-
-
-
563
66
\n
7,631
1,433
(0)
705
(1,514)
-
245
14
-
(7)
8,507
618
\n
Revalued amounts
\n
Real estate held for
\n
own use
209
(16)
(4)
6
-
(0)
5
(14)
-
-
185
1
\n
209
(16)
(4)
6
-
(0)
5
(14)
-
-
185
1
\n
Total assets at fair
\n
value
9,061
1,303
12
1,079
(1,594)
(52)
326
-
203
(253)
10,086
619
\n
Liabilities carried at
\n
fair value
\n
Investment contracts
\n
for account of
\n
policyholders
(12)
(1)
-
(361)
366
-
2
-
-
-
(6)
3
\n
Derivatives
4,902
(1,627)
-
-
(14)
-
176
-
-
-
3,437
607
\n
4,890
(1,628)
-
(361)
352
-
178
-
-
-
3,431
610
\n
1
\n
Includes impairments and movements related to fair value hedges. Gains and losses are recorded in the line item Results from financial transactions of the income statement.
\n
2
\n
Total gains and losses are recorded in line items: Gains / (losses) on revaluation of available-for-sale investments, (Gains) / losses transferred to the income statement on
\n
disposal and impairment of available-for-sale investments and Changes in revaluation reserve real estate held for own use of the statement of other comprehensive income.
\n
3
\n
Total gains / (losses) for the period during which the financial instrument was in Level III.
\n
During 2022, Aegon transferred certain financial instruments from Level I and II to Level III of the fair value hierarchy.
\n
The reason for the change in level was that the market liquidity for these securities decreased, which led to a change in market
\n
observability of prices. Prior to transfer, the fair value for the Level II securities was determined using observable market
\n
transactions or corroborated broker quotes respectively for the same or similar instruments. Since the transfer, all such
\n
assets have been valued using valuation models incorporating significant non market-observable inputs or uncorroborated
\n
broker quotes.
\n
Similarly, during 2022, Aegon transferred certain financial instruments from Level III to Level I and II of the fair value hierarchy.
\n
The change in level was mainly the result of a return of activity in the market for these securities and that for these securities
\n
the fair value could be determined using observable market transactions or corroborated broker quotes for the same or similar
\n
instruments.
\n
|
Aegon Integrated Annual Report
2022
274
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Valuation techniques and significant unobservable inputs
\n
The table below presents information about the significant unobservable inputs used for recurring fair value measurements for
\n
certain Level III financial instruments.
\n
Valuation technique
\n
1)
\n
Significant
\n
unobservable input
\n
2)
\n
December
\n
31, 2022
\n
4)
\n
Range
\n
(weighted
\n
average)
\n
December
\n
31, 2021
\n
Range
\n
(weighted
\n
average)
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
\n
Net asset value
n.a.
126
n.a.
166
n.a.
\n
Other
n.a.
5
n.a.
25
n.a.
\n
131
191
\n
Debt securities
\n
Broker quote
n.a.
66
n.a.
493
n.a.
\n
Discounted cash flow
Constant Prepayment Rate
2
40.53%
5
21.43%
\n
Discounted cash flow
Constant Prepayment Rate
-
-
22
9.95%
\n
Other
n.a.
148
n.a.
82
n.a.
\n
216
603
\n
Other investments at fair value
\n
Tax credit investments
Discounted cash flow
Discount rate
610
7.10%
541
7.09%
\n
Investment funds
Net asset value
n.a.
2
n.a.
3
n.a.
\n
Other
Other
n.a.
48
n.a.
56
n.a.
\n
660
599
\n
At December 31
1,008
1,393
\n
Fair value through profit or loss
\n
Shares
Other
n.a.
-
n.a.
1,343
n.a.
\n
Debt securities
Other
n.a.
-
n.a.
5
n.a.
\n
Debt securities
Discounted cash flow
Constant prepayment rate
-
7.80%
-
n.a.
\n
1
1,348
\n
Other investments at fair value
\n
Investment funds
Net asset value
n.a.
3,363
n.a.
2,944
n.a.
\n
Other
Other
n.a.
-
n.a.
66
n.a.
\n
3,363
3,010
\n
Total assets at fair value
\n
3)
\n
4,372
5,750
\n
Liabilities carried at fair value
\n
Derivatives
\n
Embedded derivatives in insurance
\n
contracts
Discounted cash flow
Own credit spread
836
0.45%
3,437
0.23%
\n
Other
Discounted cash flow
Other
4
n.a
-
-
\n
Total liabilities at fair value
840
-
3,437
\n
1
\n
Other in the table above (column Valuation technique) includes investments for which the fair value is uncorroborated and no broker quote is received.
\n
2
\n
Not applicable (n.a.) has been included when the unobservable inputs are not developed by the Group and are not reasonably available. Refer to the section Fair value
\n
measurement in this note for a detailed description of Aegon\u2019s methods of determining fair value and the valuation techniques.
\n
3
\n
Investments for account of policyholders are excluded from the table above and from the disclosure regarding reasonably possible alternative assumptions.
\n
Policyholder assets, and their returns, belong to policyholders and do not impact Aegon\u2019s net result or equity. The effect on total assets is offset by the effect on total
\n
liabilities.
\n
4
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
For reference purposes, the valuation techniques included in the table above are described in more detail
\n
on the following pages.
\n
Aegon Integrated Annual Report
2022 |
275
\n
Notes to the consolidated financial statements
Note 44
Effect of changes in significant unobservable assumptions to reasonably possible alternatives
\n
Own credit spread, as included in the discount rate for embedded derivatives in insurance contracts, is considered as a
\n
significant unobservable input. It is estimated that changing the other significant unobservable inputs to reflect reasonable
\n
possible alternatives in valuation would have no significant impact for the Group.
\n
An increase in own credit spread results in lower valuation, while a decrease results in a higher valuation of the embedded
\n
derivatives.
\n
The table below presents the impact on a fair value measurement of a change in the own credit spread by 5 basis points
\n
included in the discount rate.
\n
December
\n
31, 2022
\n
1)
\n
Effect of reasonably
\n
possible alternative
\n
assumptions (+/-)
\n
December
\n
31, 2021
\n
Effect of reasonably
\n
possible alternative
\n
assumptions (+/-)
\n
Increase
Decrease
Increase
Decrease
\n
Financial liabilities carried at fair value
\n
Embedded derivatives in insurance contracts
836
16
(16)
3,437
39
(39)
\n
1
\n
2022 excludes the liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Fair value information about assets and liabilities not measured at fair value
\n
The following table presents the carrying values and estimated fair values of assets and liabilities, excluding assets and
\n
liabilities which are carried at fair value on a recurring basis.
\n
2022
\n
Carrying
\n
amount
\n
December 31,
\n
2022
\n
1)
\n
Estimated fair value hierarchy
\n
Total estimated
\n
fair value
\n
December 31,
\n
2022
\n
1)
\n
Level I
Level II
Level III
\n
Assets
\n
Mortgage loans - held at amortized cost
10,441
-
1
9,244
9,245
\n
Private loans - held at amortized cost
27
-
15
-
15
\n
Other loans - held at amortized cost
2,088
39
2,049
-
2,088
\n
Liabilities
\n
Subordinated borrowings - held at amortized cost
2,295
1,372
663
-
2,035
\n
Trust pass-through securities - held at amortized cost
118
-
133
-
133
\n
Borrowings \u2013 held at amortized cost
4,051
1,289
2,825
-
4,114
\n
Investment contracts - held at amortized cost
10,485
-
-
9,410
9,410
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Carrying
\n
amount
\n
December 31,
\n
2021
Estimated fair value hierarchy
\n
Total estimated
\n
fair value
\n
December 31,
\n
2021
\n
Level I
Level II
Level III
\n
Assets
\n
Mortgage loans - held at amortized cost
40,624
-
1
44,366
44,366
\n
Private loans - held at amortized cost
4,883
-
34
5,457
5,491
\n
Other loans - held at amortized cost
1,949
21
1,923
5
1,949
\n
Liabilities
\n
Subordinated borrowings - held at amortized cost
2,194
1,567
872
-
2,438
\n
Trust pass-through securities - held at amortized cost
126
-
139
-
139
\n
Borrowings \u2013 held at amortized cost
9,661
1,735
2,662
5,773
10,171
\n
Investment contracts - held at amortized cost
21,573
-
-
20,861
20,861
\n
Certain financial instruments that are not carried at fair value are carried at amounts that approximate fair value, due to their
\n
short-term nature and generally negligible credit risk. These instruments include cash and cash equivalents, short-term
\n
|
Aegon Integrated Annual Report
2022
276
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
receivables and accrued interest receivable, short-term liabilities, and accrued liabilities. These instruments are not included
\n
in the table above.
\n
Fair value measurement
\n
The description of Aegon's methods of determining fair value and the valuation techniques are described
\n
on the following pages.
\n
Shares
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its investments in shares.
\n
For Level III unquoted shares, the net asset value can be considered the best approximation to the fair value. Net asset value
\n
is the value of an entity's assets minus the value of its liabilities and may be the same as the book value or the equity value
\n
of the entity.
\n
Also for unquoted shares, the fair value may be estimated using other methods, such as observations of the price/earnings
\n
or price/cash flow ratios of quoted companies considered comparable to the companies being valued. Valuations are adjusted
\n
to account for company-specific issues and the lack of liquidity inherent in an unquoted investment. Adjustments for lack
\n
of liquidity are generally based on available market evidence. In addition, a variety of other factors are reviewed by management,
\n
including, but not limited to, current operating performance, changes in market outlook and the third-party financing
\n
environment.
\n
Available-for-sale shares include shares in a Federal Home Loan Bank (FHLB) for an amount of EUR 124 million (2021:
\n
EUR 112 million), which are reported as part of the line-item Net asset value. A FHLB has implicit financial support from
\n
the United States government. The redemption value of the shares is fixed at par and they can only be redeemed by the FHLB.
\n
Debt securities
\n
The fair values of debt securities are determined by management after taking into consideration several sources of data.
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its debt securities. As stated
\n
previously, Aegon\u2019s valuation policy utilizes a pricing hierarchy which dictates that publicly available prices are initially sought
\n
from indices and third-party pricing services. In the event that pricing is not available from these sources, those securities are
\n
submitted to brokers to obtain quotes, the majority of which are non-binding. As part of the pricing process, Aegon assesses
\n
the appropriateness of each quote (i.e. as to whether the quote is based on observable market transactions or not) to determine
\n
the most appropriate estimate of fair value.
\n
When broker quotes are not available, securities are priced using internal cash flow modeling techniques. These valuation
\n
methodologies commonly use the following inputs: reported trades, bids, offers, issuer spreads, benchmark yields, estimated
\n
prepayment speeds, issue specific credit adjustments, indicative quotes from market makers and/or estimated cash flows.
\n
To understand the valuation methodologies used by third-party pricing services Aegon reviews and monitors the applicable
\n
methodology documents of the third-party pricing services. Any changes to their methodologies are noted and reviewed for
\n
reasonableness. In addition, Aegon performs in-depth reviews of prices received from third-party pricing services on a sample
\n
basis. The objective for such reviews is to demonstrate that Aegon can corroborate detailed information such as assumptions,
\n
inputs and methodologies used in pricing individual securities against documented pricing methodologies. Only third-party
\n
pricing services and brokers with a substantial presence in the market and with appropriate experience and expertise are used.
\n
Third-party pricing services will often determine prices using recently reported trades for identical or similar securities.
\n
The third-party pricing service makes adjustments for the elapsed time from the trade date to the reporting date to take into
\n
account available market information. Lacking recently reported trades, third-party pricing services and brokers will use
\n
modeling techniques to determine a security price where expected future cash flows are developed based on the performance
\n
of the underlying collateral and discounted using an estimated market rate.
\n
Periodically, Aegon performs an analysis of the inputs obtained from third-party pricing services and brokers to ensure that
\n
the inputs are reasonable and produce a reasonable estimate of fair value. Aegon\u2019s asset specialists and investment valuation
\n
specialists consider both qualitative and quantitative factors as part of this analysis. Several examples of analytical procedures
\n
performed include, but are not limited to, recent transactional activity for similar debt securities, review of pricing statistics and
\n
trends and consideration of recent relevant market events. Other controls and procedures over pricing received from indices,
\n
third-party pricing services, or brokers include validation checks such as exception reports which highlight significant price
\n
Aegon Integrated Annual Report
2022 |
277
\n
Notes to the consolidated financial statements
Note 44
changes, stale prices or unpriced securities. Additionally, Aegon performs back testing on a sample basis. Back testing involves
\n
selecting a sample of securities trades and comparing the prices in those transactions to prices used for financial reporting.
\n
Significant variances between the price used for financial reporting and the transaction price are investigated to explain
\n
the cause of the difference.
\n
Credit ratings are also an important consideration in the valuation of securities and are included in the internal process
\n
for determining Aegon\u2019s view of the risk associated with each security. However, Aegon does not rely solely on external
\n
credit ratings and there is an internal process, based on market observable inputs, for determining Aegon\u2019s view of the risks
\n
associated with each security.
\n
Aegon\u2019s portfolio of private placement securities (held at fair value under the classification of available-for-sale or fair value
\n
through profit or loss) is valued using a matrix pricing methodology. The pricing matrix is obtained from a third-party service
\n
provider and indicates current spreads for securities based on weighted average life, credit rating, and industry sector. Each
\n
month, Aegon\u2019s asset specialists review the matrix to ensure the spreads are reasonable by comparing them to observed
\n
spreads for similar bonds traded in the market. Other inputs to the valuation include coupon rate, the current interest rate
\n
curve used for discounting and a liquidity premium to account for the illiquid nature of these securities. The liquidity premiums
\n
are determined based upon the pricing of recent transactions in the private placements market; comparing the value
\n
of the privately offered security to a similar public security. The impact of the liquidity premium for private placement securities
\n
to the overall valuation is insignificant.
\n
Aegon's portfolio of debt securities can be subdivided into Residential mortgage-backed securities (RMBS), Commercial
\n
mortgage-backed securities (CMBS), Asset-backed securities (ABS), Corporate bonds and Government debt. Below relevant
\n
details of the valuation methodologies for these specific types of debt securities are described.
\n
Residential mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities
\n
Valuations of RMBS, CMBS and ABS are monitored and reviewed on a monthly basis. Valuations per asset type are based on a
\n
pricing hierarchy which uses a waterfall approach that starts with market prices from indices and follows with third-party pricing
\n
services or brokers. The pricing hierarchy is dependent on the possibilities of corroboration of the market prices. If no market
\n
prices are available, Aegon uses internal models to determine fair value. Significant inputs included in the internal models are
\n
generally determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral
\n
and risk profiles. Market standard models may be used to model the specific collateral composition and cash flow structure
\n
of each transaction. The most significant unobservable input is the liquidity premium which is embedded in the discount rate.
\n
Aegon the Netherlands has mandated Aegon Asset Management to invest in RMBS transactions. Aegon Asset Management
\n
uses its own proprietary cash flow tools to analyze and stress test RMBS transactions. The key input parameters are default
\n
rates and loss given default assumptions, which are established based on historical pool characteristics and current
\n
loan level data.
\n
Corporate bonds
\n
Valuations of corporate bonds are monitored and reviewed on a monthly basis. The pricing hierarchy is dependent
\n
on the possibility of corroboration of market prices when available. If no market prices are available, valuations are determined
\n
by a discounted cash flow methodology using an internally calculated yield. The yield is comprised of a credit spread over
\n
a given benchmark. In all cases the benchmark is an observable input. The credit spread contains both observable and
\n
unobservable inputs. Aegon starts by taking an observable credit spread from a similar bond of the given issuer, and then
\n
adjust this spread based on unobservable inputs. These unobservable inputs may include subordination, liquidity and maturity
\n
differences. During 2022, there were no corporate bonds that met the policy threshold to be internally modeled.
\n
Government debt
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its government debt
\n
investments. When Aegon cannot make use of quoted market prices, market prices from indices or quotes from third-party
\n
pricing services or brokers are used.
\n
Money market and other short-term investments and deposits with financial institutions
\n
The fair value of assets maturing within a year is assumed to be approximated by their carrying amount adjusted for
\n
credit risk where appropriate. Credit risk adjustments are based on market observable credit spreads if available,
\n
or management\u2019s estimate if not market observable.
\n
|
Aegon Integrated Annual Report
2022
278
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Tax credit investments
\n
The Level III fair value of tax credit investments is determined by using a discounted cash flow valuation technique. This
\n
valuation technique takes into consideration projections of future capital contributions and distributions, as well as future
\n
tax credits and the tax benefits of future operating losses. The present value of these cash flows is calculated by applying
\n
a discount rate. In general, the discount rate is determined based on the cash outflows for the investments and the cash inflows
\n
from the tax credits and/or tax benefits (and the timing of these cash flows). These inputs are unobservable in the market place.
\n
The discount rate used in valuation of tax credit investments remained stable at 7.1% (December 31, 2021: 7.1%).
\n
Investment funds: Real estate funds, private equity funds and hedge funds
\n
The fair values of investments held in non-quoted investment funds are determined by management after taking into
\n
consideration information provided by the fund managers. Aegon reviews the valuations each month and performs analytical
\n
procedures and trending analyses to ensure the fair values are appropriate. The net asset value is considered the best valuation
\n
method that approximates the fair value of the funds.
\n
Mortgage loans, policy loans and private loans
(held at amortized cost)
\n
For private loans, fixed interest mortgage loans and other loans originated by the Group, the fair value used for disclosure
\n
purposes is estimated by discounting expected future cash flows using a current market rate applicable to financial
\n
instruments with similar yield and maturity characteristics. For fixed interest mortgage loans, the market rate is adjusted
\n
for expenses, prepayment rates, lapse assumptions (unobservable inputs), liquidity and credit risk (market observable
\n
inputs). An increase in expense spread, prepayment rates and/or prepayment assumptions, would decrease the fair value
\n
of the mortgage loan portfolio.
\n
The fair value of floating interest rate mortgage loans, policy loans and private placements used for disclosure purposes
\n
is assumed to be approximated by their carrying amount, adjusted for changes in credit risk. Credit risk adjustments are based
\n
on market observable credit spreads if available, or management\u2019s estimate if not market observable.
\n
Derivatives
\n
Where quoted market prices are not available, other valuation techniques, such as option pricing or stochastic modeling,
\n
are applied. The valuation techniques incorporate all factors that a typical market participant would consider and are based
\n
on observable market data when available. Models are validated before they are used and calibrated to ensure that outputs
\n
reflect actual experience and comparable market prices.
\n
Fair values for exchange-traded derivatives, principally futures and certain options, are based on quoted market prices in active
\n
markets. Fair values for over-the-counter (OTC) derivative financial instruments represent amounts estimated to be received
\n
from or paid to a third party in settlement of these instruments. These derivatives are valued using pricing models based
\n
on the net present value of estimated future cash flows, directly observed prices from exchange-traded derivatives, other
\n
OTC trades, or external pricing services. Most valuations are derived from swap and volatility matrices, which are constructed
\n
for applicable indices and currencies using current market data from many industry standard sources. Option pricing
\n
is based on industry standard valuation models and current market levels, where applicable. The pricing of complex or illiquid
\n
instruments is based on internal models or an independent third party. For long-dated illiquid contracts, extrapolation methods
\n
are applied to observed market data in order to estimate inputs and assumptions that are not directly observable. To value OTC
\n
derivatives, management uses observed market information, other trades in the market and dealer prices.
\n
Some OTC derivatives are so-called longevity derivatives. The payout of longevity derivatives is linked to publicly
\n
available mortality tables. The derivatives are measured using the present value of the best estimate of expected payouts
\n
of the derivative plus a risk margin. The best estimate of expected payouts is determined using best estimate of mortality
\n
developments. Aegon determined the risk margin by stressing the best estimate mortality developments to quantify the risk
\n
and applying a cost-of-capital methodology. Depending on the duration of the longevity swaps either the projected mortality
\n
development or discount rate are the most significant unobservable inputs.
\n
Aegon normally mitigates counterparty credit risk in derivative contracts by entering into collateral agreements where practical
\n
and in ISDA master netting agreements for each of the Group\u2019s legal entities to facilitate Aegon\u2019s right to offset credit risk
\n
exposure. Changes in the fair value of derivatives attributable to changes in counterparty credit risk were not significant.
\n
Aegon Integrated Annual Report
2022 |
279
\n
Notes to the consolidated financial statements
Note 44
Embedded derivatives in insurance contracts including guarantees
\n
Bifurcated guarantees for minimum benefits in insurance and investment contracts are carried at fair value. These guarantees
\n
include Guaranteed minimum withdrawal benefits (GMWB) in the United States and United Kingdom which are offered on some
\n
variable annuity products and are also assumed from a ceding company; minimum investment return guarantees on insurance
\n
products offered in the Netherlands, including group pension and traditional products; variable annuities sold in Europe.
\n
Since the price of these guarantees is not quoted in any market, the fair values of these guarantees are based on discounted
\n
cash flows calculated as the present value of future expected payments to policyholders less the present value of assessed
\n
rider fees attributable to the guarantees. Given the complexity and long-term nature of these guarantees which are unlike
\n
instruments available in financial markets, their fair values are determined by using stochastic models under a variety of market
\n
return scenarios. A variety of factors are considered, including own credit spread, expected market rates of return, equity
\n
and interest rate volatility, correlations of market returns, discount rates and actuarial assumptions. The most significant
\n
unobservable factor is own credit spread. The weighted average own credit spread used in the valuations of embedded
\n
derivatives in insurance contracts increased to 0.45% (2021: 0.23%).
\n
The expected returns are based on risk-free rates. Aegon added a premium to reflect the credit spread as required. The credit
\n
spread is set by using the Credit default swap (CDS) spreads of a reference portfolio of life insurance companies (including
\n
Aegon), adjusted to reflect the subordination of senior debt holders at the holding company level to the position of policyholders
\n
at the operating company level (who have priority in payments over other creditors). Aegon\u2019s assumptions are set by region
\n
to reflect differences in the valuation of the guarantee embedded in the insurance contracts.
\n
Aegon extrapolates yield curves beyond market observable maturities. The discount rates converge linearly in 10 years
\n
to an Ultimate Forward Rate. In the Netherlands, the ultimate forward rate is 3.65% from the last liquid point. The US ultimate
\n
forward rate extrapolates linearly beyond 30 years using an average of forward interest rates implied by the market between
\n
20 years and 30 years. In the US, the ultimate forward rate is 3.50% from the last liquid point. The uniform last liquid point for all
\n
Aegon\u2019s major currencies (EUR, USD and GBP) is set at 30 years.
\n
Since many of the assumptions are unobservable and are considered to be significant inputs to the liability valuation,
\n
the liability included in future policy benefits has been reflected within Level III of the fair value hierarchy. Refer to note
\n
36 Guarantees in insurance contracts for more details about Aegon\u2019s guarantees.
\n
Real estate
\n
Valuations of Level III investments in real estate and real estate held for own use are conducted in full by independent external
\n
appraisers at least every three to five years and reviewed at least once a year by qualified internal appraisers to ensure
\n
the value correctly reflects the fair value at the reporting date. Appraisals are different for each specific local market, but
\n
are based on market guidelines such as International Valuation Standards, Uniform Standards of Professional Appraisal
\n
Practice or guidelines issued by the Investment Property Databank. Valuations are mostly based on active market prices,
\n
adjusted for any difference in the nature, location or condition of the specific property. If such information is not available, other
\n
valuation methods are applied, considering the value that the property\u2019s net earning power will support, the value indicated
\n
by recent sales of comparable properties and the current cost of reproducing or replacing the property. Discount rates used
\n
in the valuation of real estate reflect the risk embedded in the projected cash flows for the asset being valued. Capitalization
\n
rates represent the income rate for a real estate property that reflects the relationship between a single year\u2019s net operating
\n
income expectancy and the total property price or value. For property held for own use, appraisers consider the present value
\n
of the future rental income cash flows that could be achieved had the real estate been rented to a third party.
\n
Trust pass-through securities and subordinated borrowings
\n
Trust pass-through securities and subordinated borrowings are either carried at fair value (if they are designated as financial
\n
liabilities at fair value through profit or loss) or amortized cost (with fair value being disclosed in the notes to the consolidated
\n
financial statements). For the determination of the fair value of these instruments, the level hierarchy as described by EU-IFRS
\n
is used. The preferred method of obtaining the fair value of the fair value option bonds is the quoted price (Level I). In case
\n
markets are less liquid or the quoted prices are not available, Aegon\u2019s valuation policy utilizes a pricing hierarchy which dictates
\n
that publicly available prices are initially sought from indices and third-party pricing services. The US trust pass-through
\n
securities and subordinated borrowings are classified as Level II of the fair value hierarchy.
\n
|
Aegon Integrated Annual Report
2022
280
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Investment contracts
\n
Investment contracts issued by Aegon are either carried at fair value (if they are designated as financial liabilities at fair value
\n
through profit or loss) or amortized cost (with fair value being disclosed in the notes to the consolidated financial statements).
\n
These contracts are not quoted in active markets and their fair values are determined by using valuation techniques, such
\n
as discounted cash flow methods and stochastic modeling or in relation to the unit price of the underlying assets. All models
\n
are validated and calibrated. A variety of factors are considered, including time value, volatility, policyholder behavior, servicing
\n
costs and fair values of similar instruments.
\n
Similar to embedded derivatives in insurance contracts, certain investment products are not quoted in active markets and their
\n
fair values are determined by using valuation techniques. Because of the dynamic and complex nature of these cash flows,
\n
stochastic or similar techniques under a variety of market return scenarios are often used. A variety of factors are considered,
\n
including expected market rates of return, market volatility, correlations of market returns, discount rates and actuarial
\n
assumptions.
\n
The expected returns are based on risk-free rates, such as the current Secured Overnight Financing Rate (SOFR) swap
\n
rates and associated forward rates, the Overnight Index Swap (OIS) curve or the current rates on local government bonds.
\n
London Interbank Offered Rate (LIBOR) was replaced with SOFR in the second quarter of 2022. Market volatility assumptions
\n
for each underlying index are based on observed market implied volatility data and/or observed market performance.
\n
Correlations of market returns for various underlying indices are based on observed market returns and their inter-relationships
\n
over a number of years preceding the valuation date. Current risk-free spot rates are used to determine the present value
\n
of expected future cash flows produced in the stochastic projection process.
\n
Assumptions on customer behavior, such as lapses, included in the models are derived in the same way as the assumptions
\n
used to measure insurance liabilities.
\n
Summary of total financial assets and financial liabilities at fair value through profit or loss
\n
The table that follows summarizes the carrying amounts of financial assets and financial liabilities that are classified as at fair
\n
value through profit or loss, with appropriate distinction between those financial assets and financial liabilities held for trading
\n
and those that, upon initial recognition, were designated as at fair value through profit or loss.
\n
2022
\n
1)
\n
2021
\n
Trading
Designated
Trading
Designated
\n
Investments for general account
41
4,527
41
8,440
\n
Investments for account of policyholders
-
179,563
-
250,390
\n
Derivatives with positive values not designated as hedges
2,434
-
8,184
-
\n
Total financial assets at fair value through profit or loss
2,475
184,089
8,225
258,830
\n
Investment contracts for account of policyholders
-
55,254
-
71,242
\n
Derivatives with negative values not designated as hedges
4,877
-
8,959
-
\n
Total financial liabilities at fair value through profit or loss
4,877
55,254
8,959
71,242
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Investments for general account
\n
The Group manages certain portfolios on a total return basis which have been designated at fair value through profit or loss.
\n
This includes portfolios of investments in limited partnerships and limited liability companies (primarily hedge funds and private
\n
equity funds) for which the performance is assessed internally on a total return basis. In addition, some investments for general
\n
account that include an embedded derivative that would otherwise have required bifurcation, such as convertible instruments,
\n
preferred shares and credit linked notes, have been designated at fair value through profit or loss.
\n
Aegon has certain insurance and investment liabilities that are carried at fair value with changes in the fair value recognized
\n
in the income statement. The Group has elected to designate the investments backing those liabilities at fair value through
\n
profit or loss, as a classification of available-for-sale would result in accumulation of unrealized gains and losses in a revaluation
\n
reserve within equity whilst changes to the liability would be reflected in net result (accounting mismatch).
\n
Investments for account of policyholders
\n
Investments held for account of policyholders comprise assets that are linked to various insurance and investment contracts
\n
for which the financial risks are borne by the customer. Under the Group\u2019s accounting policies these insurance and investment
\n
Aegon Integrated Annual Report
2022 |
281
\n
Notes to the consolidated financial statements
Note 44
liabilities are measured at the fair value of the linked assets with changes in the fair value recognized in the income statement.
\n
To avoid an accounting mismatch the linked assets have been designated as at fair value through profit or loss.
\n
In addition, the investment for account of policyholders include with profit assets, where Aegon manages these assets
\n
together with related liabilities on a fair value basis in accordance with a documented policy of asset and liability management.
\n
In accordance with the Group\u2019s accounting policies, these assets have been designated as at fair value through profit or loss.
\n
Investment contracts for account of policyholders
\n
With the exception of the financial liabilities with discretionary participating features that are not subject to the classification
\n
and measurement requirements for financial instruments, all investment contracts for account of policyholders that are carried
\n
at fair value or at the fair value of the linked assets are included in the table above.
\n
Derivatives
\n
With the exception of derivatives designated as a hedging instrument, all derivatives held for general account and held for
\n
account of policyholders are included in the table above.
\n
Borrowings
\n
Borrowings designated as at fair value through profit or loss includes financial instruments that are managed on a fair value
\n
basis together with related financial assets and financial derivatives (refer to note 37 Borrowings).
\n
Gains and losses on financial assets and financial liabilities classified at fair value through profit or loss
\n
Gains and losses recognized in the income statement on financial assets and financial liabilities classified as at fair value
\n
through profit or loss can be summarized as follows:
\n
2022
\n
1)
\n
2021
\n
Trading
Designated
Trading
Designated
\n
Net gains and (losses)
469
(35,054)
(2,930)
25,591
\n
1
\n
2022 excludes the disposal group, which is separately disclosed in note 51 Discontinued operations.
\n
No loans and receivables were designated at fair value through profit or loss.
\n
Changes in the fair value of investment contracts for account of policyholders designated at fair value through profit or loss
\n
were not attributable to changes in Aegon\u2019s credit spread. There are also no differences between the carrying amounts of these
\n
financial liabilities and the contractual amounts payable at maturity (net of surrender penalties).
\n
Refer to note 37 Borrowings for the impact of Aegon\u2019s own credit spread on the fair value of the borrowings designated at fair
\nvalue through profit or loss. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfFinancialInstrumentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f37242": {
"value": "44 Fair value
The estimated fair values of Aegon\u2019s assets and liabilities correspond with the amounts that would be received to sell an asset
\n
or paid to transfer a liability in an orderly transaction between market participants at the measurement date. When available,
\n
Aegon uses quoted market prices in active markets to determine the fair value of investments and derivatives. In the absence
\n
of an active market, the fair value of investments in financial assets is estimated by using other market observable data,
\n
such as corroborated external quotes and present value or other valuation techniques. An active market is one in which
\n
transactions are taking place regularly on an arm\u2019s length basis. Fair value is not determined based upon a forced liquidation
\n
or distressed sale.
\n
Valuation techniques are used when Aegon determines the market is inactive or quoted market prices are not available for
\n
the asset or liability at the measurement date. However, the fair value measurement objective remains the same, that is,
\n
to estimate the price at which an orderly transaction to sell the asset or to transfer the liability would take place between
\n
market participants at the measurement date under current market conditions (i.e. an exit price at the measurement date
\n
from the perspective of a market participant that holds the asset or owes the liability). Therefore, unobservable inputs reflect
\n
Aegon\u2019s own assumptions about the assumptions that market participants would use in pricing the asset or liability (including
\n
assumptions about risk). These inputs are developed based on the best information available.
\n
Aegon employs an oversight structure over valuation of financial instruments that includes appropriate segregation of duties.
\n
Senior management, independent of the investing functions, is responsible for the oversight of control and valuation policies
\n
and for reporting the results of these policies. For fair values determined by reference to external quotation or evidenced
\n
pricing parameters, independent price determination or validation is utilized to corroborate those inputs. Further details
\n
of the validation processes are set out below.
\n
Valuation of assets and liabilities is based on a pricing hierarchy, in order to maintain a controlled process that will
\n
systematically promote the use of prices from sources in which Aegon has the most confidence, where the least amount
\n
of manual intervention exists and to embed consistency in the selection of price sources. Depending on asset type the pricing
\n
hierarchy consists of a waterfall that starts with making use of market prices from indices and follows with making use of third-
\n
party pricing services or brokers.
\n
|
Aegon Integrated Annual Report
2022
270
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Fair value hierarchy
\n
The table below provides an analysis of assets and liabilities recorded at fair value on a recurring basis by level of the fair value
\n
hierarchy. The decrease in assets and liabilities in 2022 is mainly the result of the classification of Aegon the Netherlands
\n
as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
Level I
Level II
Level III
Total 2022
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
22
42
131
195
\n
Debt securities
6,624
46,254
215
53,093
\n
Money market and other short-term instruments
3,639
1,874
1
5,514
\n
Other investments at fair value
-
180
660
840
\n
10,284
48,351
1,008
59,643
\n
Fair value through profit or loss
\n
Shares
144
49
-
193
\n
Debt securities
12
541
1
554
\n
Money market and other short-term instruments
42
57
-
99
\n
Other investments at fair value
1
358
3,363
3,722
\n
Investments for account of policyholders
\n
1)
\n
87,358
91,799
402
179,559
\n
Derivatives
33
2,717
11
2,760
\n
Investments in real estate
-
-
59
59
\n
Investments in real estate for policyholders
-
-
443
443
\n
87,590
95,520
4,279
187,389
\n
Revalued amounts
\n
Real estate held for own use
-
-
73
73
\n
-
-
73
73
\n
Total assets at fair value
97,874
143,870
5,360
247,104
\n
Liabilities carried at fair value
\n
-
-
-
-
\n
Investment contracts for account of policyholders
\n
2)
\n
-
55,228
26
55,254
\n
Derivatives
51
5,202
840
6,094
\n
Total liabilities at fair value
51
60,430
867
61,348
\n
1
\n
The investments for account of policyholders include investments carried at fair value through profit or loss.
\n
2
\n
The investment contracts for account of policyholders represents only those investment contracts carried at fair value.
\n
Aegon Integrated Annual Report
2022 |
271
\n
Notes to the consolidated financial statements
Note 44
Level I
Level II
Level III
Total 2021
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
84
75
191
350
\n
Debt securities
25,166
68,131
603
93,899
\n
Money market and other short-term instruments
1,204
3,586
-
4,790
\n
Other investments at fair value
-
246
599
844
\n
26,453
72,038
1,393
99,884
\n
Fair value through profit or loss
\n
Shares
85
237
1,343
1,665
\n
Debt securities
130
3,161
5
3,296
\n
Money market and other short-term instruments
18
102
-
120
\n
Other investments at fair value
2
389
3,010
3,401
\n
Investments for account of policyholders
\n
1)
\n
129,794
119,653
943
250,390
\n
Derivatives
150
8,676
1
8,827
\n
Investments in real estate
-
-
2,643
2,643
\n
Investments in real estate for policyholders
-
-
563
563
\n
130,178
132,219
8,507
270,904
\n
Revalued amounts
\n
Real estate held for own use
-
-
185
185
\n
-
-
185
185
\n
Total assets at fair value
156,631
204,256
10,086
370,974
\n
Liabilities carried at fair value
\n
Investment contracts for account of policyholders
\n
2)
\n
-
71,249
(6)
71,242
\n
Derivatives
39
7,162
3,437
10,639
\n
Total liabilities at fair value
39
78,411
3,431
81,881
\n
1
\n
The investments for account of policyholders include investments carried at fair value through profit or loss.
\n
2
\n
The investment contracts for account of policyholders represents only those investment contracts carried at fair value.
\n
Significant transfers between Level I, Level II and Level III
\n
Aegon\u2019s policy is to record transfers of assets and liabilities between Level I, Level II and Level III at their fair values as of
\n
the beginning of each reporting period.
\n
The table below shows transfers between Level I and Level II for financial assets and financial liabilities recorded at fair value
\n
on a recurring basis.
\n
Total 2022
\n
1)
\n
Total 2021
\n
Transfers Level I
\n
to Level II
\n
Transfers Level II
\n
to Level I
\n
Transfers Level I
\n
to Level II
\n
Transfers Level II
\n
to Level I
\n
Assets carried at fair value
\n
Available-for-sale
\n
Debt securities
23
5
44
32
\n
Money markets and other short-term instruments
-
721
-
-
\n
23
726
44
32
\n
Fair value through profit or loss
\n
Shares
10
128
-
-
\n
Money markets and other short-term instruments
-
13
-
-
\n
Investments for account of policyholders
-
40
-
-
\n
10
181
-
-
\n
Total assets at fair value
34
907
44
32
\n
-
-
\n
Total Liabilities carried at fair value
-
-
-
-
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Transfers are identified based on transaction volume and frequency, which are indicative of an active market.
\n
|
Aegon Integrated Annual Report
2022
272
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Movements in Level III financial instruments measured at fair value
\n
The following table summarizes the change of all assets and liabilities measured at estimated fair value on a recurring basis
\n
using significant unobservable inputs (Level III), including realized and unrealized gains (losses) of all assets and liabilities and
\n
unrealized gains (losses) of all assets and liabilities still held at the end of the respective period.
\n
Assets carried at
\n
fair value
\n
At
\n
January
\n
1, 2022
\n
Disposal
\n
of a
\n
busi-
\n
ness
\n
Total
\n
gains /
\n
losses in
\n
income
\n
state-
\n
ment
\n
1)
\n
Total
\n
gains /
\n
losses
\n
in OCI
\n
2)
\n
Pur-
\n
chases
Sales
\n
Settle-
\n
ments
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
Reclas-
\n
sifica-
\n
tion
\n
Trans-
\n
fers
\n
from
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
disposal
\n
groups
\n
At
\n
Decem-
\n
ber 31,
\n
2022
\n
Total unrealized
\n
gains and (losses)
\n
for the period
\n
recorded in the
\n
P&L for
\n
instruments held
\n
at December 31,
\n
2022
\n
3)
\n
Available-for-
\n
sale
\n
Shares
191
(0)
(1)
(35)
(4)
(10)
-
12
-
-
-
(21)
131
-
\n
Debt securities
603
-
(1)
(88)
124
(34)
(21)
26
-
43
(384)
(54)
215
-
\n
Money markets
\n
and other
\n
short-term
\n
instruments
-
-
(0)
1
-
-
-
(0)
-
-
-
-
1
-
\n
Other
\n
investments at
\n
fair value
599
-
(142)
22
168
(12)
(14)
39
-
-
-
-
660
-
\n
1,393
(0)
(145)
(100)
289
(56)
(34)
77
-
43
(384)
(75)
1,008
-
\n
Fair value
\n
through profit
\n
or loss
\n
Shares
1,343
-
170
-
190
(345)
-
-
-
-
-
(1,357)
-
-
\n
Debt securities
5
-
(1)
-
44
(3)
-
-
-
-
-
(44)
1
(1)
\n
Other
\n
investments at
\n
fair value
3,010
-
361
-
444
(578)
-
190
-
-
-
(64)
3,363
-
\n
Investments for
\n
account of
\n
policyholders
943
-
41
(0)
(515)
873
-
(10)
-
2
-
(932)
402
(55)
\n
Derivatives
1
-
10
-
-
-
-
(0)
-
-
-
-
11
10
\n
Investments in
\n
real estate
2,643
-
(51)
-
42
(40)
-
3
7
-
-
(2,545)
59
1
\n
Investments in
\n
real estate for
\n
policyholders
563
-
(61)
-
10
(42)
-
(27)
-
-
-
-
443
(69)
\n
8,507
-
470
(0)
215
(135)
-
155
7
2
-
(4,942)
4,279
(114)
\n
Revalued
\n
amounts
\n
Real estate held
\n
for own use
185
(23)
(3)
-
(1)
(8)
-
4
(5)
-
-
(76)
73
(0)
\n
185
(23)
(3)
-
(1)
(8)
-
4
(5)
-
-
(76)
73
(0)
\n
Total assets at
\n
fair value
10,086
(24)
322
(99)
503
(199)
(34)
235
2
45
(384)
(5,092)
5,360
(115)
\n
Liabilities
\n
carried at fair
\n
value
\n
Investment
\n
contracts for
\n
account of
\n
policyholders
(6)
-
(26)
-
(559)
720
-
2
-
1
-
(105)
26
-
\n
Derivatives
3,437
-
(1,986)
-
-
(7)
-
150
-
-
-
(754)
840
-
\n
3,431
-
(2,012)
-
(559)
713
-
152
-
1
-
(859)
867
-
\n
1
\n
Includes impairments and movements related to fair value hedges. Gains and losses are recorded in the line item Results from financial transactions of the income
\n
statement.
\n
2
\n
Total gains and losses are recorded in line items: Gains / (losses) on revaluation of available-for-sale investments, (Gains) / losses transferred to the income statement on
\n
disposal and impairment of available-for-sale investments and Changes in revaluation reserve real estate held for own use of the statement of other comprehensive income.
\n
3
\n
Total gains / (losses) for the period during which the financial instrument was in Level III.
\n
Aegon Integrated Annual Report
2022 |
273
\n
Notes to the consolidated financial statements
Note 44
Assets carried at fair
\n
value
\n
At
\n
January
\n
1, 2021
\n
Total gains /
\n
losses in
\n
income
\n
statement
\n
1)
\n
Total
\n
gains /
\n
losses in
\n
OCI
\n
2)
\n
Purchas-
\n
es
Sales
\n
Settle-
\n
ments
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
Reclas-
\n
sifica-
\n
tion
\n
Transfers
\n
from
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
levels I
\n
and II
\n
At
\n
December
\n
31, 2021
\n
Total unrealized
\n
gains and (losses)
\n
for the period
\n
recorded in the
\n
P&L for
\n
instruments held
\n
at December 31,
\n
2021
\n
3)
\n
Available-for-sale
\n
Shares
173
1
3
30
(26)
(0)
11
-
-
-
191
-
\n
Debt securities
467
(1)
6
228
(29)
(46)
22
-
203
(246)
603
-
\n
Money markets and
\n
other short-term
\n
instruments
-
-
-
-
-
-
-
-
-
-
-
-
\n
Other investments at
\n
fair value
581
(113)
7
111
(24)
(6)
43
-
-
-
599
-
\n
1,221
(114)
16
368
(80)
(52)
77
-
203
(246)
1,393
-
\n
Fair value through
\n
profit or loss
\n
Shares
1,329
150
-
179
(316)
1
1
-
-
-
1,343
147
\n
Debt securities
242
(1)
-
124
(361)
(0)
-
-
-
-
5
1
\n
Other investments at
\n
fair value
2,173
796
-
492
(638)
-
186
-
-
-
3,010
(1)
\n
Investments for
\n
account of
\n
policyholders
1,012
206
(0)
(198)
(93)
-
22
-
-
(7)
943
162
\n
Derivatives
22
(17)
-
-
(4)
-
-
-
-
-
1
(10)
\n
Investments in real
\n
estate
2,385
253
-
48
(60)
-
3
14
-
-
2,643
253
\n
Investments in real
\n
estate for
\n
policyholders
467
46
-
60
(43)
-
32
-
-
-
563
66
\n
7,631
1,433
(0)
705
(1,514)
-
245
14
-
(7)
8,507
618
\n
Revalued amounts
\n
Real estate held for
\n
own use
209
(16)
(4)
6
-
(0)
5
(14)
-
-
185
1
\n
209
(16)
(4)
6
-
(0)
5
(14)
-
-
185
1
\n
Total assets at fair
\n
value
9,061
1,303
12
1,079
(1,594)
(52)
326
-
203
(253)
10,086
619
\n
Liabilities carried at
\n
fair value
\n
Investment contracts
\n
for account of
\n
policyholders
(12)
(1)
-
(361)
366
-
2
-
-
-
(6)
3
\n
Derivatives
4,902
(1,627)
-
-
(14)
-
176
-
-
-
3,437
607
\n
4,890
(1,628)
-
(361)
352
-
178
-
-
-
3,431
610
\n
1
\n
Includes impairments and movements related to fair value hedges. Gains and losses are recorded in the line item Results from financial transactions of the income statement.
\n
2
\n
Total gains and losses are recorded in line items: Gains / (losses) on revaluation of available-for-sale investments, (Gains) / losses transferred to the income statement on
\n
disposal and impairment of available-for-sale investments and Changes in revaluation reserve real estate held for own use of the statement of other comprehensive income.
\n
3
\n
Total gains / (losses) for the period during which the financial instrument was in Level III.
\n
During 2022, Aegon transferred certain financial instruments from Level I and II to Level III of the fair value hierarchy.
\n
The reason for the change in level was that the market liquidity for these securities decreased, which led to a change in market
\n
observability of prices. Prior to transfer, the fair value for the Level II securities was determined using observable market
\n
transactions or corroborated broker quotes respectively for the same or similar instruments. Since the transfer, all such
\n
assets have been valued using valuation models incorporating significant non market-observable inputs or uncorroborated
\n
broker quotes.
\n
Similarly, during 2022, Aegon transferred certain financial instruments from Level III to Level I and II of the fair value hierarchy.
\n
The change in level was mainly the result of a return of activity in the market for these securities and that for these securities
\n
the fair value could be determined using observable market transactions or corroborated broker quotes for the same or similar
\n
instruments.
\n
|
Aegon Integrated Annual Report
2022
274
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Valuation techniques and significant unobservable inputs
\n
The table below presents information about the significant unobservable inputs used for recurring fair value measurements for
\n
certain Level III financial instruments.
\n
Valuation technique
\n
1)
\n
Significant
\n
unobservable input
\n
2)
\n
December
\n
31, 2022
\n
4)
\n
Range
\n
(weighted
\n
average)
\n
December
\n
31, 2021
\n
Range
\n
(weighted
\n
average)
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
\n
Net asset value
n.a.
126
n.a.
166
n.a.
\n
Other
n.a.
5
n.a.
25
n.a.
\n
131
191
\n
Debt securities
\n
Broker quote
n.a.
66
n.a.
493
n.a.
\n
Discounted cash flow
Constant Prepayment Rate
2
40.53%
5
21.43%
\n
Discounted cash flow
Constant Prepayment Rate
-
-
22
9.95%
\n
Other
n.a.
148
n.a.
82
n.a.
\n
216
603
\n
Other investments at fair value
\n
Tax credit investments
Discounted cash flow
Discount rate
610
7.10%
541
7.09%
\n
Investment funds
Net asset value
n.a.
2
n.a.
3
n.a.
\n
Other
Other
n.a.
48
n.a.
56
n.a.
\n
660
599
\n
At December 31
1,008
1,393
\n
Fair value through profit or loss
\n
Shares
Other
n.a.
-
n.a.
1,343
n.a.
\n
Debt securities
Other
n.a.
-
n.a.
5
n.a.
\n
Debt securities
Discounted cash flow
Constant prepayment rate
-
7.80%
-
n.a.
\n
1
1,348
\n
Other investments at fair value
\n
Investment funds
Net asset value
n.a.
3,363
n.a.
2,944
n.a.
\n
Other
Other
n.a.
-
n.a.
66
n.a.
\n
3,363
3,010
\n
Total assets at fair value
\n
3)
\n
4,372
5,750
\n
Liabilities carried at fair value
\n
Derivatives
\n
Embedded derivatives in insurance
\n
contracts
Discounted cash flow
Own credit spread
836
0.45%
3,437
0.23%
\n
Other
Discounted cash flow
Other
4
n.a
-
-
\n
Total liabilities at fair value
840
-
3,437
\n
1
\n
Other in the table above (column Valuation technique) includes investments for which the fair value is uncorroborated and no broker quote is received.
\n
2
\n
Not applicable (n.a.) has been included when the unobservable inputs are not developed by the Group and are not reasonably available. Refer to the section Fair value
\n
measurement in this note for a detailed description of Aegon\u2019s methods of determining fair value and the valuation techniques.
\n
3
\n
Investments for account of policyholders are excluded from the table above and from the disclosure regarding reasonably possible alternative assumptions.
\n
Policyholder assets, and their returns, belong to policyholders and do not impact Aegon\u2019s net result or equity. The effect on total assets is offset by the effect on total
\n
liabilities.
\n
4
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
For reference purposes, the valuation techniques included in the table above are described in more detail
\n
on the following pages.
\n
Aegon Integrated Annual Report
2022 |
275
\n
Notes to the consolidated financial statements
Note 44
Effect of changes in significant unobservable assumptions to reasonably possible alternatives
\n
Own credit spread, as included in the discount rate for embedded derivatives in insurance contracts, is considered as a
\n
significant unobservable input. It is estimated that changing the other significant unobservable inputs to reflect reasonable
\n
possible alternatives in valuation would have no significant impact for the Group.
\n
An increase in own credit spread results in lower valuation, while a decrease results in a higher valuation of the embedded
\n
derivatives.
\n
The table below presents the impact on a fair value measurement of a change in the own credit spread by 5 basis points
\n
included in the discount rate.
\n
December
\n
31, 2022
\n
1)
\n
Effect of reasonably
\n
possible alternative
\n
assumptions (+/-)
\n
December
\n
31, 2021
\n
Effect of reasonably
\n
possible alternative
\n
assumptions (+/-)
\n
Increase
Decrease
Increase
Decrease
\n
Financial liabilities carried at fair value
\n
Embedded derivatives in insurance contracts
836
16
(16)
3,437
39
(39)
\n
1
\n
2022 excludes the liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Fair value information about assets and liabilities not measured at fair value
\n
The following table presents the carrying values and estimated fair values of assets and liabilities, excluding assets and
\n
liabilities which are carried at fair value on a recurring basis.
\n
2022
\n
Carrying
\n
amount
\n
December 31,
\n
2022
\n
1)
\n
Estimated fair value hierarchy
\n
Total estimated
\n
fair value
\n
December 31,
\n
2022
\n
1)
\n
Level I
Level II
Level III
\n
Assets
\n
Mortgage loans - held at amortized cost
10,441
-
1
9,244
9,245
\n
Private loans - held at amortized cost
27
-
15
-
15
\n
Other loans - held at amortized cost
2,088
39
2,049
-
2,088
\n
Liabilities
\n
Subordinated borrowings - held at amortized cost
2,295
1,372
663
-
2,035
\n
Trust pass-through securities - held at amortized cost
118
-
133
-
133
\n
Borrowings \u2013 held at amortized cost
4,051
1,289
2,825
-
4,114
\n
Investment contracts - held at amortized cost
10,485
-
-
9,410
9,410
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Carrying
\n
amount
\n
December 31,
\n
2021
Estimated fair value hierarchy
\n
Total estimated
\n
fair value
\n
December 31,
\n
2021
\n
Level I
Level II
Level III
\n
Assets
\n
Mortgage loans - held at amortized cost
40,624
-
1
44,366
44,366
\n
Private loans - held at amortized cost
4,883
-
34
5,457
5,491
\n
Other loans - held at amortized cost
1,949
21
1,923
5
1,949
\n
Liabilities
\n
Subordinated borrowings - held at amortized cost
2,194
1,567
872
-
2,438
\n
Trust pass-through securities - held at amortized cost
126
-
139
-
139
\n
Borrowings \u2013 held at amortized cost
9,661
1,735
2,662
5,773
10,171
\n
Investment contracts - held at amortized cost
21,573
-
-
20,861
20,861
\n
Certain financial instruments that are not carried at fair value are carried at amounts that approximate fair value, due to their
\n
short-term nature and generally negligible credit risk. These instruments include cash and cash equivalents, short-term
\n
|
Aegon Integrated Annual Report
2022
276
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
receivables and accrued interest receivable, short-term liabilities, and accrued liabilities. These instruments are not included
\n
in the table above.
\n
Fair value measurement
\n
The description of Aegon's methods of determining fair value and the valuation techniques are described
\n
on the following pages.
\n
Shares
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its investments in shares.
\n
For Level III unquoted shares, the net asset value can be considered the best approximation to the fair value. Net asset value
\n
is the value of an entity's assets minus the value of its liabilities and may be the same as the book value or the equity value
\n
of the entity.
\n
Also for unquoted shares, the fair value may be estimated using other methods, such as observations of the price/earnings
\n
or price/cash flow ratios of quoted companies considered comparable to the companies being valued. Valuations are adjusted
\n
to account for company-specific issues and the lack of liquidity inherent in an unquoted investment. Adjustments for lack
\n
of liquidity are generally based on available market evidence. In addition, a variety of other factors are reviewed by management,
\n
including, but not limited to, current operating performance, changes in market outlook and the third-party financing
\n
environment.
\n
Available-for-sale shares include shares in a Federal Home Loan Bank (FHLB) for an amount of EUR 124 million (2021:
\n
EUR 112 million), which are reported as part of the line-item Net asset value. A FHLB has implicit financial support from
\n
the United States government. The redemption value of the shares is fixed at par and they can only be redeemed by the FHLB.
\n
Debt securities
\n
The fair values of debt securities are determined by management after taking into consideration several sources of data.
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its debt securities. As stated
\n
previously, Aegon\u2019s valuation policy utilizes a pricing hierarchy which dictates that publicly available prices are initially sought
\n
from indices and third-party pricing services. In the event that pricing is not available from these sources, those securities are
\n
submitted to brokers to obtain quotes, the majority of which are non-binding. As part of the pricing process, Aegon assesses
\n
the appropriateness of each quote (i.e. as to whether the quote is based on observable market transactions or not) to determine
\n
the most appropriate estimate of fair value.
\n
When broker quotes are not available, securities are priced using internal cash flow modeling techniques. These valuation
\n
methodologies commonly use the following inputs: reported trades, bids, offers, issuer spreads, benchmark yields, estimated
\n
prepayment speeds, issue specific credit adjustments, indicative quotes from market makers and/or estimated cash flows.
\n
To understand the valuation methodologies used by third-party pricing services Aegon reviews and monitors the applicable
\n
methodology documents of the third-party pricing services. Any changes to their methodologies are noted and reviewed for
\n
reasonableness. In addition, Aegon performs in-depth reviews of prices received from third-party pricing services on a sample
\n
basis. The objective for such reviews is to demonstrate that Aegon can corroborate detailed information such as assumptions,
\n
inputs and methodologies used in pricing individual securities against documented pricing methodologies. Only third-party
\n
pricing services and brokers with a substantial presence in the market and with appropriate experience and expertise are used.
\n
Third-party pricing services will often determine prices using recently reported trades for identical or similar securities.
\n
The third-party pricing service makes adjustments for the elapsed time from the trade date to the reporting date to take into
\n
account available market information. Lacking recently reported trades, third-party pricing services and brokers will use
\n
modeling techniques to determine a security price where expected future cash flows are developed based on the performance
\n
of the underlying collateral and discounted using an estimated market rate.
\n
Periodically, Aegon performs an analysis of the inputs obtained from third-party pricing services and brokers to ensure that
\n
the inputs are reasonable and produce a reasonable estimate of fair value. Aegon\u2019s asset specialists and investment valuation
\n
specialists consider both qualitative and quantitative factors as part of this analysis. Several examples of analytical procedures
\n
performed include, but are not limited to, recent transactional activity for similar debt securities, review of pricing statistics and
\n
trends and consideration of recent relevant market events. Other controls and procedures over pricing received from indices,
\n
third-party pricing services, or brokers include validation checks such as exception reports which highlight significant price
\n
Aegon Integrated Annual Report
2022 |
277
\n
Notes to the consolidated financial statements
Note 44
changes, stale prices or unpriced securities. Additionally, Aegon performs back testing on a sample basis. Back testing involves
\n
selecting a sample of securities trades and comparing the prices in those transactions to prices used for financial reporting.
\n
Significant variances between the price used for financial reporting and the transaction price are investigated to explain
\n
the cause of the difference.
\n
Credit ratings are also an important consideration in the valuation of securities and are included in the internal process
\n
for determining Aegon\u2019s view of the risk associated with each security. However, Aegon does not rely solely on external
\n
credit ratings and there is an internal process, based on market observable inputs, for determining Aegon\u2019s view of the risks
\n
associated with each security.
\n
Aegon\u2019s portfolio of private placement securities (held at fair value under the classification of available-for-sale or fair value
\n
through profit or loss) is valued using a matrix pricing methodology. The pricing matrix is obtained from a third-party service
\n
provider and indicates current spreads for securities based on weighted average life, credit rating, and industry sector. Each
\n
month, Aegon\u2019s asset specialists review the matrix to ensure the spreads are reasonable by comparing them to observed
\n
spreads for similar bonds traded in the market. Other inputs to the valuation include coupon rate, the current interest rate
\n
curve used for discounting and a liquidity premium to account for the illiquid nature of these securities. The liquidity premiums
\n
are determined based upon the pricing of recent transactions in the private placements market; comparing the value
\n
of the privately offered security to a similar public security. The impact of the liquidity premium for private placement securities
\n
to the overall valuation is insignificant.
\n
Aegon's portfolio of debt securities can be subdivided into Residential mortgage-backed securities (RMBS), Commercial
\n
mortgage-backed securities (CMBS), Asset-backed securities (ABS), Corporate bonds and Government debt. Below relevant
\n
details of the valuation methodologies for these specific types of debt securities are described.
\n
Residential mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities
\n
Valuations of RMBS, CMBS and ABS are monitored and reviewed on a monthly basis. Valuations per asset type are based on a
\n
pricing hierarchy which uses a waterfall approach that starts with market prices from indices and follows with third-party pricing
\n
services or brokers. The pricing hierarchy is dependent on the possibilities of corroboration of the market prices. If no market
\n
prices are available, Aegon uses internal models to determine fair value. Significant inputs included in the internal models are
\n
generally determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral
\n
and risk profiles. Market standard models may be used to model the specific collateral composition and cash flow structure
\n
of each transaction. The most significant unobservable input is the liquidity premium which is embedded in the discount rate.
\n
Aegon the Netherlands has mandated Aegon Asset Management to invest in RMBS transactions. Aegon Asset Management
\n
uses its own proprietary cash flow tools to analyze and stress test RMBS transactions. The key input parameters are default
\n
rates and loss given default assumptions, which are established based on historical pool characteristics and current
\n
loan level data.
\n
Corporate bonds
\n
Valuations of corporate bonds are monitored and reviewed on a monthly basis. The pricing hierarchy is dependent
\n
on the possibility of corroboration of market prices when available. If no market prices are available, valuations are determined
\n
by a discounted cash flow methodology using an internally calculated yield. The yield is comprised of a credit spread over
\n
a given benchmark. In all cases the benchmark is an observable input. The credit spread contains both observable and
\n
unobservable inputs. Aegon starts by taking an observable credit spread from a similar bond of the given issuer, and then
\n
adjust this spread based on unobservable inputs. These unobservable inputs may include subordination, liquidity and maturity
\n
differences. During 2022, there were no corporate bonds that met the policy threshold to be internally modeled.
\n
Government debt
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its government debt
\n
investments. When Aegon cannot make use of quoted market prices, market prices from indices or quotes from third-party
\n
pricing services or brokers are used.
\n
Money market and other short-term investments and deposits with financial institutions
\n
The fair value of assets maturing within a year is assumed to be approximated by their carrying amount adjusted for
\n
credit risk where appropriate. Credit risk adjustments are based on market observable credit spreads if available,
\n
or management\u2019s estimate if not market observable.
\n
|
Aegon Integrated Annual Report
2022
278
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Tax credit investments
\n
The Level III fair value of tax credit investments is determined by using a discounted cash flow valuation technique. This
\n
valuation technique takes into consideration projections of future capital contributions and distributions, as well as future
\n
tax credits and the tax benefits of future operating losses. The present value of these cash flows is calculated by applying
\n
a discount rate. In general, the discount rate is determined based on the cash outflows for the investments and the cash inflows
\n
from the tax credits and/or tax benefits (and the timing of these cash flows). These inputs are unobservable in the market place.
\n
The discount rate used in valuation of tax credit investments remained stable at 7.1% (December 31, 2021: 7.1%).
\n
Investment funds: Real estate funds, private equity funds and hedge funds
\n
The fair values of investments held in non-quoted investment funds are determined by management after taking into
\n
consideration information provided by the fund managers. Aegon reviews the valuations each month and performs analytical
\n
procedures and trending analyses to ensure the fair values are appropriate. The net asset value is considered the best valuation
\n
method that approximates the fair value of the funds.
\n
Mortgage loans, policy loans and private loans
(held at amortized cost)
\n
For private loans, fixed interest mortgage loans and other loans originated by the Group, the fair value used for disclosure
\n
purposes is estimated by discounting expected future cash flows using a current market rate applicable to financial
\n
instruments with similar yield and maturity characteristics. For fixed interest mortgage loans, the market rate is adjusted
\n
for expenses, prepayment rates, lapse assumptions (unobservable inputs), liquidity and credit risk (market observable
\n
inputs). An increase in expense spread, prepayment rates and/or prepayment assumptions, would decrease the fair value
\n
of the mortgage loan portfolio.
\n
The fair value of floating interest rate mortgage loans, policy loans and private placements used for disclosure purposes
\n
is assumed to be approximated by their carrying amount, adjusted for changes in credit risk. Credit risk adjustments are based
\n
on market observable credit spreads if available, or management\u2019s estimate if not market observable.
\n
Derivatives
\n
Where quoted market prices are not available, other valuation techniques, such as option pricing or stochastic modeling,
\n
are applied. The valuation techniques incorporate all factors that a typical market participant would consider and are based
\n
on observable market data when available. Models are validated before they are used and calibrated to ensure that outputs
\n
reflect actual experience and comparable market prices.
\n
Fair values for exchange-traded derivatives, principally futures and certain options, are based on quoted market prices in active
\n
markets. Fair values for over-the-counter (OTC) derivative financial instruments represent amounts estimated to be received
\n
from or paid to a third party in settlement of these instruments. These derivatives are valued using pricing models based
\n
on the net present value of estimated future cash flows, directly observed prices from exchange-traded derivatives, other
\n
OTC trades, or external pricing services. Most valuations are derived from swap and volatility matrices, which are constructed
\n
for applicable indices and currencies using current market data from many industry standard sources. Option pricing
\n
is based on industry standard valuation models and current market levels, where applicable. The pricing of complex or illiquid
\n
instruments is based on internal models or an independent third party. For long-dated illiquid contracts, extrapolation methods
\n
are applied to observed market data in order to estimate inputs and assumptions that are not directly observable. To value OTC
\n
derivatives, management uses observed market information, other trades in the market and dealer prices.
\n
Some OTC derivatives are so-called longevity derivatives. The payout of longevity derivatives is linked to publicly
\n
available mortality tables. The derivatives are measured using the present value of the best estimate of expected payouts
\n
of the derivative plus a risk margin. The best estimate of expected payouts is determined using best estimate of mortality
\n
developments. Aegon determined the risk margin by stressing the best estimate mortality developments to quantify the risk
\n
and applying a cost-of-capital methodology. Depending on the duration of the longevity swaps either the projected mortality
\n
development or discount rate are the most significant unobservable inputs.
\n
Aegon normally mitigates counterparty credit risk in derivative contracts by entering into collateral agreements where practical
\n
and in ISDA master netting agreements for each of the Group\u2019s legal entities to facilitate Aegon\u2019s right to offset credit risk
\n
exposure. Changes in the fair value of derivatives attributable to changes in counterparty credit risk were not significant.
\n
Aegon Integrated Annual Report
2022 |
279
\n
Notes to the consolidated financial statements
Note 44
Embedded derivatives in insurance contracts including guarantees
\n
Bifurcated guarantees for minimum benefits in insurance and investment contracts are carried at fair value. These guarantees
\n
include Guaranteed minimum withdrawal benefits (GMWB) in the United States and United Kingdom which are offered on some
\n
variable annuity products and are also assumed from a ceding company; minimum investment return guarantees on insurance
\n
products offered in the Netherlands, including group pension and traditional products; variable annuities sold in Europe.
\n
Since the price of these guarantees is not quoted in any market, the fair values of these guarantees are based on discounted
\n
cash flows calculated as the present value of future expected payments to policyholders less the present value of assessed
\n
rider fees attributable to the guarantees. Given the complexity and long-term nature of these guarantees which are unlike
\n
instruments available in financial markets, their fair values are determined by using stochastic models under a variety of market
\n
return scenarios. A variety of factors are considered, including own credit spread, expected market rates of return, equity
\n
and interest rate volatility, correlations of market returns, discount rates and actuarial assumptions. The most significant
\n
unobservable factor is own credit spread. The weighted average own credit spread used in the valuations of embedded
\n
derivatives in insurance contracts increased to 0.45% (2021: 0.23%).
\n
The expected returns are based on risk-free rates. Aegon added a premium to reflect the credit spread as required. The credit
\n
spread is set by using the Credit default swap (CDS) spreads of a reference portfolio of life insurance companies (including
\n
Aegon), adjusted to reflect the subordination of senior debt holders at the holding company level to the position of policyholders
\n
at the operating company level (who have priority in payments over other creditors). Aegon\u2019s assumptions are set by region
\n
to reflect differences in the valuation of the guarantee embedded in the insurance contracts.
\n
Aegon extrapolates yield curves beyond market observable maturities. The discount rates converge linearly in 10 years
\n
to an Ultimate Forward Rate. In the Netherlands, the ultimate forward rate is 3.65% from the last liquid point. The US ultimate
\n
forward rate extrapolates linearly beyond 30 years using an average of forward interest rates implied by the market between
\n
20 years and 30 years. In the US, the ultimate forward rate is 3.50% from the last liquid point. The uniform last liquid point for all
\n
Aegon\u2019s major currencies (EUR, USD and GBP) is set at 30 years.
\n
Since many of the assumptions are unobservable and are considered to be significant inputs to the liability valuation,
\n
the liability included in future policy benefits has been reflected within Level III of the fair value hierarchy. Refer to note
\n
36 Guarantees in insurance contracts for more details about Aegon\u2019s guarantees.
\n
Real estate
\n
Valuations of Level III investments in real estate and real estate held for own use are conducted in full by independent external
\n
appraisers at least every three to five years and reviewed at least once a year by qualified internal appraisers to ensure
\n
the value correctly reflects the fair value at the reporting date. Appraisals are different for each specific local market, but
\n
are based on market guidelines such as International Valuation Standards, Uniform Standards of Professional Appraisal
\n
Practice or guidelines issued by the Investment Property Databank. Valuations are mostly based on active market prices,
\n
adjusted for any difference in the nature, location or condition of the specific property. If such information is not available, other
\n
valuation methods are applied, considering the value that the property\u2019s net earning power will support, the value indicated
\n
by recent sales of comparable properties and the current cost of reproducing or replacing the property. Discount rates used
\n
in the valuation of real estate reflect the risk embedded in the projected cash flows for the asset being valued. Capitalization
\n
rates represent the income rate for a real estate property that reflects the relationship between a single year\u2019s net operating
\n
income expectancy and the total property price or value. For property held for own use, appraisers consider the present value
\n
of the future rental income cash flows that could be achieved had the real estate been rented to a third party.
\n
Trust pass-through securities and subordinated borrowings
\n
Trust pass-through securities and subordinated borrowings are either carried at fair value (if they are designated as financial
\n
liabilities at fair value through profit or loss) or amortized cost (with fair value being disclosed in the notes to the consolidated
\n
financial statements). For the determination of the fair value of these instruments, the level hierarchy as described by EU-IFRS
\n
is used. The preferred method of obtaining the fair value of the fair value option bonds is the quoted price (Level I). In case
\n
markets are less liquid or the quoted prices are not available, Aegon\u2019s valuation policy utilizes a pricing hierarchy which dictates
\n
that publicly available prices are initially sought from indices and third-party pricing services. The US trust pass-through
\n
securities and subordinated borrowings are classified as Level II of the fair value hierarchy.
\n
|
Aegon Integrated Annual Report
2022
280
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Investment contracts
\n
Investment contracts issued by Aegon are either carried at fair value (if they are designated as financial liabilities at fair value
\n
through profit or loss) or amortized cost (with fair value being disclosed in the notes to the consolidated financial statements).
\n
These contracts are not quoted in active markets and their fair values are determined by using valuation techniques, such
\n
as discounted cash flow methods and stochastic modeling or in relation to the unit price of the underlying assets. All models
\n
are validated and calibrated. A variety of factors are considered, including time value, volatility, policyholder behavior, servicing
\n
costs and fair values of similar instruments.
\n
Similar to embedded derivatives in insurance contracts, certain investment products are not quoted in active markets and their
\n
fair values are determined by using valuation techniques. Because of the dynamic and complex nature of these cash flows,
\n
stochastic or similar techniques under a variety of market return scenarios are often used. A variety of factors are considered,
\n
including expected market rates of return, market volatility, correlations of market returns, discount rates and actuarial
\n
assumptions.
\n
The expected returns are based on risk-free rates, such as the current Secured Overnight Financing Rate (SOFR) swap
\n
rates and associated forward rates, the Overnight Index Swap (OIS) curve or the current rates on local government bonds.
\n
London Interbank Offered Rate (LIBOR) was replaced with SOFR in the second quarter of 2022. Market volatility assumptions
\n
for each underlying index are based on observed market implied volatility data and/or observed market performance.
\n
Correlations of market returns for various underlying indices are based on observed market returns and their inter-relationships
\n
over a number of years preceding the valuation date. Current risk-free spot rates are used to determine the present value
\n
of expected future cash flows produced in the stochastic projection process.
\n
Assumptions on customer behavior, such as lapses, included in the models are derived in the same way as the assumptions
\n
used to measure insurance liabilities.
\n
Summary of total financial assets and financial liabilities at fair value through profit or loss
\n
The table that follows summarizes the carrying amounts of financial assets and financial liabilities that are classified as at fair
\n
value through profit or loss, with appropriate distinction between those financial assets and financial liabilities held for trading
\n
and those that, upon initial recognition, were designated as at fair value through profit or loss.
\n
2022
\n
1)
\n
2021
\n
Trading
Designated
Trading
Designated
\n
Investments for general account
41
4,527
41
8,440
\n
Investments for account of policyholders
-
179,563
-
250,390
\n
Derivatives with positive values not designated as hedges
2,434
-
8,184
-
\n
Total financial assets at fair value through profit or loss
2,475
184,089
8,225
258,830
\n
Investment contracts for account of policyholders
-
55,254
-
71,242
\n
Derivatives with negative values not designated as hedges
4,877
-
8,959
-
\n
Total financial liabilities at fair value through profit or loss
4,877
55,254
8,959
71,242
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Investments for general account
\n
The Group manages certain portfolios on a total return basis which have been designated at fair value through profit or loss.
\n
This includes portfolios of investments in limited partnerships and limited liability companies (primarily hedge funds and private
\n
equity funds) for which the performance is assessed internally on a total return basis. In addition, some investments for general
\n
account that include an embedded derivative that would otherwise have required bifurcation, such as convertible instruments,
\n
preferred shares and credit linked notes, have been designated at fair value through profit or loss.
\n
Aegon has certain insurance and investment liabilities that are carried at fair value with changes in the fair value recognized
\n
in the income statement. The Group has elected to designate the investments backing those liabilities at fair value through
\n
profit or loss, as a classification of available-for-sale would result in accumulation of unrealized gains and losses in a revaluation
\n
reserve within equity whilst changes to the liability would be reflected in net result (accounting mismatch).
\n
Investments for account of policyholders
\n
Investments held for account of policyholders comprise assets that are linked to various insurance and investment contracts
\n
for which the financial risks are borne by the customer. Under the Group\u2019s accounting policies these insurance and investment
\n
Aegon Integrated Annual Report
2022 |
281
\n
Notes to the consolidated financial statements
Note 44
liabilities are measured at the fair value of the linked assets with changes in the fair value recognized in the income statement.
\n
To avoid an accounting mismatch the linked assets have been designated as at fair value through profit or loss.
\n
In addition, the investment for account of policyholders include with profit assets, where Aegon manages these assets
\n
together with related liabilities on a fair value basis in accordance with a documented policy of asset and liability management.
\n
In accordance with the Group\u2019s accounting policies, these assets have been designated as at fair value through profit or loss.
\n
Investment contracts for account of policyholders
\n
With the exception of the financial liabilities with discretionary participating features that are not subject to the classification
\n
and measurement requirements for financial instruments, all investment contracts for account of policyholders that are carried
\n
at fair value or at the fair value of the linked assets are included in the table above.
\n
Derivatives
\n
With the exception of derivatives designated as a hedging instrument, all derivatives held for general account and held for
\n
account of policyholders are included in the table above.
\n
Borrowings
\n
Borrowings designated as at fair value through profit or loss includes financial instruments that are managed on a fair value
\n
basis together with related financial assets and financial derivatives (refer to note 37 Borrowings).
\n
Gains and losses on financial assets and financial liabilities classified at fair value through profit or loss
\n
Gains and losses recognized in the income statement on financial assets and financial liabilities classified as at fair value
\n
through profit or loss can be summarized as follows:
\n
2022
\n
1)
\n
2021
\n
Trading
Designated
Trading
Designated
\n
Net gains and (losses)
469
(35,054)
(2,930)
25,591
\n
1
\n
2022 excludes the disposal group, which is separately disclosed in note 51 Discontinued operations.
\n
No loans and receivables were designated at fair value through profit or loss.
\n
Changes in the fair value of investment contracts for account of policyholders designated at fair value through profit or loss
\n
were not attributable to changes in Aegon\u2019s credit spread. There are also no differences between the carrying amounts of these
\n
financial liabilities and the contractual amounts payable at maturity (net of surrender penalties).
\n
Refer to note 37 Borrowings for the impact of Aegon\u2019s own credit spread on the fair value of the borrowings designated at fair
\nvalue through profit or loss. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfFinancialInstrumentsAtFairValueThroughProfitOrLossExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f37243": {
"value": "44 Fair value
The estimated fair values of Aegon\u2019s assets and liabilities correspond with the amounts that would be received to sell an asset
\n
or paid to transfer a liability in an orderly transaction between market participants at the measurement date. When available,
\n
Aegon uses quoted market prices in active markets to determine the fair value of investments and derivatives. In the absence
\n
of an active market, the fair value of investments in financial assets is estimated by using other market observable data,
\n
such as corroborated external quotes and present value or other valuation techniques. An active market is one in which
\n
transactions are taking place regularly on an arm\u2019s length basis. Fair value is not determined based upon a forced liquidation
\n
or distressed sale.
\n
Valuation techniques are used when Aegon determines the market is inactive or quoted market prices are not available for
\n
the asset or liability at the measurement date. However, the fair value measurement objective remains the same, that is,
\n
to estimate the price at which an orderly transaction to sell the asset or to transfer the liability would take place between
\n
market participants at the measurement date under current market conditions (i.e. an exit price at the measurement date
\n
from the perspective of a market participant that holds the asset or owes the liability). Therefore, unobservable inputs reflect
\n
Aegon\u2019s own assumptions about the assumptions that market participants would use in pricing the asset or liability (including
\n
assumptions about risk). These inputs are developed based on the best information available.
\n
Aegon employs an oversight structure over valuation of financial instruments that includes appropriate segregation of duties.
\n
Senior management, independent of the investing functions, is responsible for the oversight of control and valuation policies
\n
and for reporting the results of these policies. For fair values determined by reference to external quotation or evidenced
\n
pricing parameters, independent price determination or validation is utilized to corroborate those inputs. Further details
\n
of the validation processes are set out below.
\n
Valuation of assets and liabilities is based on a pricing hierarchy, in order to maintain a controlled process that will
\n
systematically promote the use of prices from sources in which Aegon has the most confidence, where the least amount
\n
of manual intervention exists and to embed consistency in the selection of price sources. Depending on asset type the pricing
\n
hierarchy consists of a waterfall that starts with making use of market prices from indices and follows with making use of third-
\n
party pricing services or brokers.
\n
|
Aegon Integrated Annual Report
2022
270
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Fair value hierarchy
\n
The table below provides an analysis of assets and liabilities recorded at fair value on a recurring basis by level of the fair value
\n
hierarchy. The decrease in assets and liabilities in 2022 is mainly the result of the classification of Aegon the Netherlands
\n
as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
Level I
Level II
Level III
Total 2022
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
22
42
131
195
\n
Debt securities
6,624
46,254
215
53,093
\n
Money market and other short-term instruments
3,639
1,874
1
5,514
\n
Other investments at fair value
-
180
660
840
\n
10,284
48,351
1,008
59,643
\n
Fair value through profit or loss
\n
Shares
144
49
-
193
\n
Debt securities
12
541
1
554
\n
Money market and other short-term instruments
42
57
-
99
\n
Other investments at fair value
1
358
3,363
3,722
\n
Investments for account of policyholders
\n
1)
\n
87,358
91,799
402
179,559
\n
Derivatives
33
2,717
11
2,760
\n
Investments in real estate
-
-
59
59
\n
Investments in real estate for policyholders
-
-
443
443
\n
87,590
95,520
4,279
187,389
\n
Revalued amounts
\n
Real estate held for own use
-
-
73
73
\n
-
-
73
73
\n
Total assets at fair value
97,874
143,870
5,360
247,104
\n
Liabilities carried at fair value
\n
-
-
-
-
\n
Investment contracts for account of policyholders
\n
2)
\n
-
55,228
26
55,254
\n
Derivatives
51
5,202
840
6,094
\n
Total liabilities at fair value
51
60,430
867
61,348
\n
1
\n
The investments for account of policyholders include investments carried at fair value through profit or loss.
\n
2
\n
The investment contracts for account of policyholders represents only those investment contracts carried at fair value.
\n
Aegon Integrated Annual Report
2022 |
271
\n
Notes to the consolidated financial statements
Note 44
Level I
Level II
Level III
Total 2021
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
84
75
191
350
\n
Debt securities
25,166
68,131
603
93,899
\n
Money market and other short-term instruments
1,204
3,586
-
4,790
\n
Other investments at fair value
-
246
599
844
\n
26,453
72,038
1,393
99,884
\n
Fair value through profit or loss
\n
Shares
85
237
1,343
1,665
\n
Debt securities
130
3,161
5
3,296
\n
Money market and other short-term instruments
18
102
-
120
\n
Other investments at fair value
2
389
3,010
3,401
\n
Investments for account of policyholders
\n
1)
\n
129,794
119,653
943
250,390
\n
Derivatives
150
8,676
1
8,827
\n
Investments in real estate
-
-
2,643
2,643
\n
Investments in real estate for policyholders
-
-
563
563
\n
130,178
132,219
8,507
270,904
\n
Revalued amounts
\n
Real estate held for own use
-
-
185
185
\n
-
-
185
185
\n
Total assets at fair value
156,631
204,256
10,086
370,974
\n
Liabilities carried at fair value
\n
Investment contracts for account of policyholders
\n
2)
\n
-
71,249
(6)
71,242
\n
Derivatives
39
7,162
3,437
10,639
\n
Total liabilities at fair value
39
78,411
3,431
81,881
\n
1
\n
The investments for account of policyholders include investments carried at fair value through profit or loss.
\n
2
\n
The investment contracts for account of policyholders represents only those investment contracts carried at fair value.
\n
Significant transfers between Level I, Level II and Level III
\n
Aegon\u2019s policy is to record transfers of assets and liabilities between Level I, Level II and Level III at their fair values as of
\n
the beginning of each reporting period.
\n
The table below shows transfers between Level I and Level II for financial assets and financial liabilities recorded at fair value
\n
on a recurring basis.
\n
Total 2022
\n
1)
\n
Total 2021
\n
Transfers Level I
\n
to Level II
\n
Transfers Level II
\n
to Level I
\n
Transfers Level I
\n
to Level II
\n
Transfers Level II
\n
to Level I
\n
Assets carried at fair value
\n
Available-for-sale
\n
Debt securities
23
5
44
32
\n
Money markets and other short-term instruments
-
721
-
-
\n
23
726
44
32
\n
Fair value through profit or loss
\n
Shares
10
128
-
-
\n
Money markets and other short-term instruments
-
13
-
-
\n
Investments for account of policyholders
-
40
-
-
\n
10
181
-
-
\n
Total assets at fair value
34
907
44
32
\n
-
-
\n
Total Liabilities carried at fair value
-
-
-
-
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Transfers are identified based on transaction volume and frequency, which are indicative of an active market.
\n
|
Aegon Integrated Annual Report
2022
272
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Movements in Level III financial instruments measured at fair value
\n
The following table summarizes the change of all assets and liabilities measured at estimated fair value on a recurring basis
\n
using significant unobservable inputs (Level III), including realized and unrealized gains (losses) of all assets and liabilities and
\n
unrealized gains (losses) of all assets and liabilities still held at the end of the respective period.
\n
Assets carried at
\n
fair value
\n
At
\n
January
\n
1, 2022
\n
Disposal
\n
of a
\n
busi-
\n
ness
\n
Total
\n
gains /
\n
losses in
\n
income
\n
state-
\n
ment
\n
1)
\n
Total
\n
gains /
\n
losses
\n
in OCI
\n
2)
\n
Pur-
\n
chases
Sales
\n
Settle-
\n
ments
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
Reclas-
\n
sifica-
\n
tion
\n
Trans-
\n
fers
\n
from
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
disposal
\n
groups
\n
At
\n
Decem-
\n
ber 31,
\n
2022
\n
Total unrealized
\n
gains and (losses)
\n
for the period
\n
recorded in the
\n
P&L for
\n
instruments held
\n
at December 31,
\n
2022
\n
3)
\n
Available-for-
\n
sale
\n
Shares
191
(0)
(1)
(35)
(4)
(10)
-
12
-
-
-
(21)
131
-
\n
Debt securities
603
-
(1)
(88)
124
(34)
(21)
26
-
43
(384)
(54)
215
-
\n
Money markets
\n
and other
\n
short-term
\n
instruments
-
-
(0)
1
-
-
-
(0)
-
-
-
-
1
-
\n
Other
\n
investments at
\n
fair value
599
-
(142)
22
168
(12)
(14)
39
-
-
-
-
660
-
\n
1,393
(0)
(145)
(100)
289
(56)
(34)
77
-
43
(384)
(75)
1,008
-
\n
Fair value
\n
through profit
\n
or loss
\n
Shares
1,343
-
170
-
190
(345)
-
-
-
-
-
(1,357)
-
-
\n
Debt securities
5
-
(1)
-
44
(3)
-
-
-
-
-
(44)
1
(1)
\n
Other
\n
investments at
\n
fair value
3,010
-
361
-
444
(578)
-
190
-
-
-
(64)
3,363
-
\n
Investments for
\n
account of
\n
policyholders
943
-
41
(0)
(515)
873
-
(10)
-
2
-
(932)
402
(55)
\n
Derivatives
1
-
10
-
-
-
-
(0)
-
-
-
-
11
10
\n
Investments in
\n
real estate
2,643
-
(51)
-
42
(40)
-
3
7
-
-
(2,545)
59
1
\n
Investments in
\n
real estate for
\n
policyholders
563
-
(61)
-
10
(42)
-
(27)
-
-
-
-
443
(69)
\n
8,507
-
470
(0)
215
(135)
-
155
7
2
-
(4,942)
4,279
(114)
\n
Revalued
\n
amounts
\n
Real estate held
\n
for own use
185
(23)
(3)
-
(1)
(8)
-
4
(5)
-
-
(76)
73
(0)
\n
185
(23)
(3)
-
(1)
(8)
-
4
(5)
-
-
(76)
73
(0)
\n
Total assets at
\n
fair value
10,086
(24)
322
(99)
503
(199)
(34)
235
2
45
(384)
(5,092)
5,360
(115)
\n
Liabilities
\n
carried at fair
\n
value
\n
Investment
\n
contracts for
\n
account of
\n
policyholders
(6)
-
(26)
-
(559)
720
-
2
-
1
-
(105)
26
-
\n
Derivatives
3,437
-
(1,986)
-
-
(7)
-
150
-
-
-
(754)
840
-
\n
3,431
-
(2,012)
-
(559)
713
-
152
-
1
-
(859)
867
-
\n
1
\n
Includes impairments and movements related to fair value hedges. Gains and losses are recorded in the line item Results from financial transactions of the income
\n
statement.
\n
2
\n
Total gains and losses are recorded in line items: Gains / (losses) on revaluation of available-for-sale investments, (Gains) / losses transferred to the income statement on
\n
disposal and impairment of available-for-sale investments and Changes in revaluation reserve real estate held for own use of the statement of other comprehensive income.
\n
3
\n
Total gains / (losses) for the period during which the financial instrument was in Level III.
\n
Aegon Integrated Annual Report
2022 |
273
\n
Notes to the consolidated financial statements
Note 44
Assets carried at fair
\n
value
\n
At
\n
January
\n
1, 2021
\n
Total gains /
\n
losses in
\n
income
\n
statement
\n
1)
\n
Total
\n
gains /
\n
losses in
\n
OCI
\n
2)
\n
Purchas-
\n
es
Sales
\n
Settle-
\n
ments
\n
Net
\n
ex-
\n
change
\n
differ-
\n
ence
\n
Reclas-
\n
sifica-
\n
tion
\n
Transfers
\n
from
\n
levels I
\n
and II
\n
Trans-
\n
fers to
\n
levels I
\n
and II
\n
At
\n
December
\n
31, 2021
\n
Total unrealized
\n
gains and (losses)
\n
for the period
\n
recorded in the
\n
P&L for
\n
instruments held
\n
at December 31,
\n
2021
\n
3)
\n
Available-for-sale
\n
Shares
173
1
3
30
(26)
(0)
11
-
-
-
191
-
\n
Debt securities
467
(1)
6
228
(29)
(46)
22
-
203
(246)
603
-
\n
Money markets and
\n
other short-term
\n
instruments
-
-
-
-
-
-
-
-
-
-
-
-
\n
Other investments at
\n
fair value
581
(113)
7
111
(24)
(6)
43
-
-
-
599
-
\n
1,221
(114)
16
368
(80)
(52)
77
-
203
(246)
1,393
-
\n
Fair value through
\n
profit or loss
\n
Shares
1,329
150
-
179
(316)
1
1
-
-
-
1,343
147
\n
Debt securities
242
(1)
-
124
(361)
(0)
-
-
-
-
5
1
\n
Other investments at
\n
fair value
2,173
796
-
492
(638)
-
186
-
-
-
3,010
(1)
\n
Investments for
\n
account of
\n
policyholders
1,012
206
(0)
(198)
(93)
-
22
-
-
(7)
943
162
\n
Derivatives
22
(17)
-
-
(4)
-
-
-
-
-
1
(10)
\n
Investments in real
\n
estate
2,385
253
-
48
(60)
-
3
14
-
-
2,643
253
\n
Investments in real
\n
estate for
\n
policyholders
467
46
-
60
(43)
-
32
-
-
-
563
66
\n
7,631
1,433
(0)
705
(1,514)
-
245
14
-
(7)
8,507
618
\n
Revalued amounts
\n
Real estate held for
\n
own use
209
(16)
(4)
6
-
(0)
5
(14)
-
-
185
1
\n
209
(16)
(4)
6
-
(0)
5
(14)
-
-
185
1
\n
Total assets at fair
\n
value
9,061
1,303
12
1,079
(1,594)
(52)
326
-
203
(253)
10,086
619
\n
Liabilities carried at
\n
fair value
\n
Investment contracts
\n
for account of
\n
policyholders
(12)
(1)
-
(361)
366
-
2
-
-
-
(6)
3
\n
Derivatives
4,902
(1,627)
-
-
(14)
-
176
-
-
-
3,437
607
\n
4,890
(1,628)
-
(361)
352
-
178
-
-
-
3,431
610
\n
1
\n
Includes impairments and movements related to fair value hedges. Gains and losses are recorded in the line item Results from financial transactions of the income statement.
\n
2
\n
Total gains and losses are recorded in line items: Gains / (losses) on revaluation of available-for-sale investments, (Gains) / losses transferred to the income statement on
\n
disposal and impairment of available-for-sale investments and Changes in revaluation reserve real estate held for own use of the statement of other comprehensive income.
\n
3
\n
Total gains / (losses) for the period during which the financial instrument was in Level III.
\n
During 2022, Aegon transferred certain financial instruments from Level I and II to Level III of the fair value hierarchy.
\n
The reason for the change in level was that the market liquidity for these securities decreased, which led to a change in market
\n
observability of prices. Prior to transfer, the fair value for the Level II securities was determined using observable market
\n
transactions or corroborated broker quotes respectively for the same or similar instruments. Since the transfer, all such
\n
assets have been valued using valuation models incorporating significant non market-observable inputs or uncorroborated
\n
broker quotes.
\n
Similarly, during 2022, Aegon transferred certain financial instruments from Level III to Level I and II of the fair value hierarchy.
\n
The change in level was mainly the result of a return of activity in the market for these securities and that for these securities
\n
the fair value could be determined using observable market transactions or corroborated broker quotes for the same or similar
\n
instruments.
\n
|
Aegon Integrated Annual Report
2022
274
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Valuation techniques and significant unobservable inputs
\n
The table below presents information about the significant unobservable inputs used for recurring fair value measurements for
\n
certain Level III financial instruments.
\n
Valuation technique
\n
1)
\n
Significant
\n
unobservable input
\n
2)
\n
December
\n
31, 2022
\n
4)
\n
Range
\n
(weighted
\n
average)
\n
December
\n
31, 2021
\n
Range
\n
(weighted
\n
average)
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
\n
Net asset value
n.a.
126
n.a.
166
n.a.
\n
Other
n.a.
5
n.a.
25
n.a.
\n
131
191
\n
Debt securities
\n
Broker quote
n.a.
66
n.a.
493
n.a.
\n
Discounted cash flow
Constant Prepayment Rate
2
40.53%
5
21.43%
\n
Discounted cash flow
Constant Prepayment Rate
-
-
22
9.95%
\n
Other
n.a.
148
n.a.
82
n.a.
\n
216
603
\n
Other investments at fair value
\n
Tax credit investments
Discounted cash flow
Discount rate
610
7.10%
541
7.09%
\n
Investment funds
Net asset value
n.a.
2
n.a.
3
n.a.
\n
Other
Other
n.a.
48
n.a.
56
n.a.
\n
660
599
\n
At December 31
1,008
1,393
\n
Fair value through profit or loss
\n
Shares
Other
n.a.
-
n.a.
1,343
n.a.
\n
Debt securities
Other
n.a.
-
n.a.
5
n.a.
\n
Debt securities
Discounted cash flow
Constant prepayment rate
-
7.80%
-
n.a.
\n
1
1,348
\n
Other investments at fair value
\n
Investment funds
Net asset value
n.a.
3,363
n.a.
2,944
n.a.
\n
Other
Other
n.a.
-
n.a.
66
n.a.
\n
3,363
3,010
\n
Total assets at fair value
\n
3)
\n
4,372
5,750
\n
Liabilities carried at fair value
\n
Derivatives
\n
Embedded derivatives in insurance
\n
contracts
Discounted cash flow
Own credit spread
836
0.45%
3,437
0.23%
\n
Other
Discounted cash flow
Other
4
n.a
-
-
\n
Total liabilities at fair value
840
-
3,437
\n
1
\n
Other in the table above (column Valuation technique) includes investments for which the fair value is uncorroborated and no broker quote is received.
\n
2
\n
Not applicable (n.a.) has been included when the unobservable inputs are not developed by the Group and are not reasonably available. Refer to the section Fair value
\n
measurement in this note for a detailed description of Aegon\u2019s methods of determining fair value and the valuation techniques.
\n
3
\n
Investments for account of policyholders are excluded from the table above and from the disclosure regarding reasonably possible alternative assumptions.
\n
Policyholder assets, and their returns, belong to policyholders and do not impact Aegon\u2019s net result or equity. The effect on total assets is offset by the effect on total
\n
liabilities.
\n
4
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
For reference purposes, the valuation techniques included in the table above are described in more detail
\n
on the following pages.
\n
Aegon Integrated Annual Report
2022 |
275
\n
Notes to the consolidated financial statements
Note 44
Effect of changes in significant unobservable assumptions to reasonably possible alternatives
\n
Own credit spread, as included in the discount rate for embedded derivatives in insurance contracts, is considered as a
\n
significant unobservable input. It is estimated that changing the other significant unobservable inputs to reflect reasonable
\n
possible alternatives in valuation would have no significant impact for the Group.
\n
An increase in own credit spread results in lower valuation, while a decrease results in a higher valuation of the embedded
\n
derivatives.
\n
The table below presents the impact on a fair value measurement of a change in the own credit spread by 5 basis points
\n
included in the discount rate.
\n
December
\n
31, 2022
\n
1)
\n
Effect of reasonably
\n
possible alternative
\n
assumptions (+/-)
\n
December
\n
31, 2021
\n
Effect of reasonably
\n
possible alternative
\n
assumptions (+/-)
\n
Increase
Decrease
Increase
Decrease
\n
Financial liabilities carried at fair value
\n
Embedded derivatives in insurance contracts
836
16
(16)
3,437
39
(39)
\n
1
\n
2022 excludes the liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Fair value information about assets and liabilities not measured at fair value
\n
The following table presents the carrying values and estimated fair values of assets and liabilities, excluding assets and
\n
liabilities which are carried at fair value on a recurring basis.
\n
2022
\n
Carrying
\n
amount
\n
December 31,
\n
2022
\n
1)
\n
Estimated fair value hierarchy
\n
Total estimated
\n
fair value
\n
December 31,
\n
2022
\n
1)
\n
Level I
Level II
Level III
\n
Assets
\n
Mortgage loans - held at amortized cost
10,441
-
1
9,244
9,245
\n
Private loans - held at amortized cost
27
-
15
-
15
\n
Other loans - held at amortized cost
2,088
39
2,049
-
2,088
\n
Liabilities
\n
Subordinated borrowings - held at amortized cost
2,295
1,372
663
-
2,035
\n
Trust pass-through securities - held at amortized cost
118
-
133
-
133
\n
Borrowings \u2013 held at amortized cost
4,051
1,289
2,825
-
4,114
\n
Investment contracts - held at amortized cost
10,485
-
-
9,410
9,410
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Carrying
\n
amount
\n
December 31,
\n
2021
Estimated fair value hierarchy
\n
Total estimated
\n
fair value
\n
December 31,
\n
2021
\n
Level I
Level II
Level III
\n
Assets
\n
Mortgage loans - held at amortized cost
40,624
-
1
44,366
44,366
\n
Private loans - held at amortized cost
4,883
-
34
5,457
5,491
\n
Other loans - held at amortized cost
1,949
21
1,923
5
1,949
\n
Liabilities
\n
Subordinated borrowings - held at amortized cost
2,194
1,567
872
-
2,438
\n
Trust pass-through securities - held at amortized cost
126
-
139
-
139
\n
Borrowings \u2013 held at amortized cost
9,661
1,735
2,662
5,773
10,171
\n
Investment contracts - held at amortized cost
21,573
-
-
20,861
20,861
\n
Certain financial instruments that are not carried at fair value are carried at amounts that approximate fair value, due to their
\n
short-term nature and generally negligible credit risk. These instruments include cash and cash equivalents, short-term
\n
|
Aegon Integrated Annual Report
2022
276
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
receivables and accrued interest receivable, short-term liabilities, and accrued liabilities. These instruments are not included
\n
in the table above.
\n
Fair value measurement
\n
The description of Aegon's methods of determining fair value and the valuation techniques are described
\n
on the following pages.
\n
Shares
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its investments in shares.
\n
For Level III unquoted shares, the net asset value can be considered the best approximation to the fair value. Net asset value
\n
is the value of an entity's assets minus the value of its liabilities and may be the same as the book value or the equity value
\n
of the entity.
\n
Also for unquoted shares, the fair value may be estimated using other methods, such as observations of the price/earnings
\n
or price/cash flow ratios of quoted companies considered comparable to the companies being valued. Valuations are adjusted
\n
to account for company-specific issues and the lack of liquidity inherent in an unquoted investment. Adjustments for lack
\n
of liquidity are generally based on available market evidence. In addition, a variety of other factors are reviewed by management,
\n
including, but not limited to, current operating performance, changes in market outlook and the third-party financing
\n
environment.
\n
Available-for-sale shares include shares in a Federal Home Loan Bank (FHLB) for an amount of EUR 124 million (2021:
\n
EUR 112 million), which are reported as part of the line-item Net asset value. A FHLB has implicit financial support from
\n
the United States government. The redemption value of the shares is fixed at par and they can only be redeemed by the FHLB.
\n
Debt securities
\n
The fair values of debt securities are determined by management after taking into consideration several sources of data.
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its debt securities. As stated
\n
previously, Aegon\u2019s valuation policy utilizes a pricing hierarchy which dictates that publicly available prices are initially sought
\n
from indices and third-party pricing services. In the event that pricing is not available from these sources, those securities are
\n
submitted to brokers to obtain quotes, the majority of which are non-binding. As part of the pricing process, Aegon assesses
\n
the appropriateness of each quote (i.e. as to whether the quote is based on observable market transactions or not) to determine
\n
the most appropriate estimate of fair value.
\n
When broker quotes are not available, securities are priced using internal cash flow modeling techniques. These valuation
\n
methodologies commonly use the following inputs: reported trades, bids, offers, issuer spreads, benchmark yields, estimated
\n
prepayment speeds, issue specific credit adjustments, indicative quotes from market makers and/or estimated cash flows.
\n
To understand the valuation methodologies used by third-party pricing services Aegon reviews and monitors the applicable
\n
methodology documents of the third-party pricing services. Any changes to their methodologies are noted and reviewed for
\n
reasonableness. In addition, Aegon performs in-depth reviews of prices received from third-party pricing services on a sample
\n
basis. The objective for such reviews is to demonstrate that Aegon can corroborate detailed information such as assumptions,
\n
inputs and methodologies used in pricing individual securities against documented pricing methodologies. Only third-party
\n
pricing services and brokers with a substantial presence in the market and with appropriate experience and expertise are used.
\n
Third-party pricing services will often determine prices using recently reported trades for identical or similar securities.
\n
The third-party pricing service makes adjustments for the elapsed time from the trade date to the reporting date to take into
\n
account available market information. Lacking recently reported trades, third-party pricing services and brokers will use
\n
modeling techniques to determine a security price where expected future cash flows are developed based on the performance
\n
of the underlying collateral and discounted using an estimated market rate.
\n
Periodically, Aegon performs an analysis of the inputs obtained from third-party pricing services and brokers to ensure that
\n
the inputs are reasonable and produce a reasonable estimate of fair value. Aegon\u2019s asset specialists and investment valuation
\n
specialists consider both qualitative and quantitative factors as part of this analysis. Several examples of analytical procedures
\n
performed include, but are not limited to, recent transactional activity for similar debt securities, review of pricing statistics and
\n
trends and consideration of recent relevant market events. Other controls and procedures over pricing received from indices,
\n
third-party pricing services, or brokers include validation checks such as exception reports which highlight significant price
\n
Aegon Integrated Annual Report
2022 |
277
\n
Notes to the consolidated financial statements
Note 44
changes, stale prices or unpriced securities. Additionally, Aegon performs back testing on a sample basis. Back testing involves
\n
selecting a sample of securities trades and comparing the prices in those transactions to prices used for financial reporting.
\n
Significant variances between the price used for financial reporting and the transaction price are investigated to explain
\n
the cause of the difference.
\n
Credit ratings are also an important consideration in the valuation of securities and are included in the internal process
\n
for determining Aegon\u2019s view of the risk associated with each security. However, Aegon does not rely solely on external
\n
credit ratings and there is an internal process, based on market observable inputs, for determining Aegon\u2019s view of the risks
\n
associated with each security.
\n
Aegon\u2019s portfolio of private placement securities (held at fair value under the classification of available-for-sale or fair value
\n
through profit or loss) is valued using a matrix pricing methodology. The pricing matrix is obtained from a third-party service
\n
provider and indicates current spreads for securities based on weighted average life, credit rating, and industry sector. Each
\n
month, Aegon\u2019s asset specialists review the matrix to ensure the spreads are reasonable by comparing them to observed
\n
spreads for similar bonds traded in the market. Other inputs to the valuation include coupon rate, the current interest rate
\n
curve used for discounting and a liquidity premium to account for the illiquid nature of these securities. The liquidity premiums
\n
are determined based upon the pricing of recent transactions in the private placements market; comparing the value
\n
of the privately offered security to a similar public security. The impact of the liquidity premium for private placement securities
\n
to the overall valuation is insignificant.
\n
Aegon's portfolio of debt securities can be subdivided into Residential mortgage-backed securities (RMBS), Commercial
\n
mortgage-backed securities (CMBS), Asset-backed securities (ABS), Corporate bonds and Government debt. Below relevant
\n
details of the valuation methodologies for these specific types of debt securities are described.
\n
Residential mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities
\n
Valuations of RMBS, CMBS and ABS are monitored and reviewed on a monthly basis. Valuations per asset type are based on a
\n
pricing hierarchy which uses a waterfall approach that starts with market prices from indices and follows with third-party pricing
\n
services or brokers. The pricing hierarchy is dependent on the possibilities of corroboration of the market prices. If no market
\n
prices are available, Aegon uses internal models to determine fair value. Significant inputs included in the internal models are
\n
generally determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral
\n
and risk profiles. Market standard models may be used to model the specific collateral composition and cash flow structure
\n
of each transaction. The most significant unobservable input is the liquidity premium which is embedded in the discount rate.
\n
Aegon the Netherlands has mandated Aegon Asset Management to invest in RMBS transactions. Aegon Asset Management
\n
uses its own proprietary cash flow tools to analyze and stress test RMBS transactions. The key input parameters are default
\n
rates and loss given default assumptions, which are established based on historical pool characteristics and current
\n
loan level data.
\n
Corporate bonds
\n
Valuations of corporate bonds are monitored and reviewed on a monthly basis. The pricing hierarchy is dependent
\n
on the possibility of corroboration of market prices when available. If no market prices are available, valuations are determined
\n
by a discounted cash flow methodology using an internally calculated yield. The yield is comprised of a credit spread over
\n
a given benchmark. In all cases the benchmark is an observable input. The credit spread contains both observable and
\n
unobservable inputs. Aegon starts by taking an observable credit spread from a similar bond of the given issuer, and then
\n
adjust this spread based on unobservable inputs. These unobservable inputs may include subordination, liquidity and maturity
\n
differences. During 2022, there were no corporate bonds that met the policy threshold to be internally modeled.
\n
Government debt
\n
When available, Aegon uses quoted market prices in active markets to determine the fair value of its government debt
\n
investments. When Aegon cannot make use of quoted market prices, market prices from indices or quotes from third-party
\n
pricing services or brokers are used.
\n
Money market and other short-term investments and deposits with financial institutions
\n
The fair value of assets maturing within a year is assumed to be approximated by their carrying amount adjusted for
\n
credit risk where appropriate. Credit risk adjustments are based on market observable credit spreads if available,
\n
or management\u2019s estimate if not market observable.
\n
|
Aegon Integrated Annual Report
2022
278
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Tax credit investments
\n
The Level III fair value of tax credit investments is determined by using a discounted cash flow valuation technique. This
\n
valuation technique takes into consideration projections of future capital contributions and distributions, as well as future
\n
tax credits and the tax benefits of future operating losses. The present value of these cash flows is calculated by applying
\n
a discount rate. In general, the discount rate is determined based on the cash outflows for the investments and the cash inflows
\n
from the tax credits and/or tax benefits (and the timing of these cash flows). These inputs are unobservable in the market place.
\n
The discount rate used in valuation of tax credit investments remained stable at 7.1% (December 31, 2021: 7.1%).
\n
Investment funds: Real estate funds, private equity funds and hedge funds
\n
The fair values of investments held in non-quoted investment funds are determined by management after taking into
\n
consideration information provided by the fund managers. Aegon reviews the valuations each month and performs analytical
\n
procedures and trending analyses to ensure the fair values are appropriate. The net asset value is considered the best valuation
\n
method that approximates the fair value of the funds.
\n
Mortgage loans, policy loans and private loans
(held at amortized cost)
\n
For private loans, fixed interest mortgage loans and other loans originated by the Group, the fair value used for disclosure
\n
purposes is estimated by discounting expected future cash flows using a current market rate applicable to financial
\n
instruments with similar yield and maturity characteristics. For fixed interest mortgage loans, the market rate is adjusted
\n
for expenses, prepayment rates, lapse assumptions (unobservable inputs), liquidity and credit risk (market observable
\n
inputs). An increase in expense spread, prepayment rates and/or prepayment assumptions, would decrease the fair value
\n
of the mortgage loan portfolio.
\n
The fair value of floating interest rate mortgage loans, policy loans and private placements used for disclosure purposes
\n
is assumed to be approximated by their carrying amount, adjusted for changes in credit risk. Credit risk adjustments are based
\n
on market observable credit spreads if available, or management\u2019s estimate if not market observable.
\n
Derivatives
\n
Where quoted market prices are not available, other valuation techniques, such as option pricing or stochastic modeling,
\n
are applied. The valuation techniques incorporate all factors that a typical market participant would consider and are based
\n
on observable market data when available. Models are validated before they are used and calibrated to ensure that outputs
\n
reflect actual experience and comparable market prices.
\n
Fair values for exchange-traded derivatives, principally futures and certain options, are based on quoted market prices in active
\n
markets. Fair values for over-the-counter (OTC) derivative financial instruments represent amounts estimated to be received
\n
from or paid to a third party in settlement of these instruments. These derivatives are valued using pricing models based
\n
on the net present value of estimated future cash flows, directly observed prices from exchange-traded derivatives, other
\n
OTC trades, or external pricing services. Most valuations are derived from swap and volatility matrices, which are constructed
\n
for applicable indices and currencies using current market data from many industry standard sources. Option pricing
\n
is based on industry standard valuation models and current market levels, where applicable. The pricing of complex or illiquid
\n
instruments is based on internal models or an independent third party. For long-dated illiquid contracts, extrapolation methods
\n
are applied to observed market data in order to estimate inputs and assumptions that are not directly observable. To value OTC
\n
derivatives, management uses observed market information, other trades in the market and dealer prices.
\n
Some OTC derivatives are so-called longevity derivatives. The payout of longevity derivatives is linked to publicly
\n
available mortality tables. The derivatives are measured using the present value of the best estimate of expected payouts
\n
of the derivative plus a risk margin. The best estimate of expected payouts is determined using best estimate of mortality
\n
developments. Aegon determined the risk margin by stressing the best estimate mortality developments to quantify the risk
\n
and applying a cost-of-capital methodology. Depending on the duration of the longevity swaps either the projected mortality
\n
development or discount rate are the most significant unobservable inputs.
\n
Aegon normally mitigates counterparty credit risk in derivative contracts by entering into collateral agreements where practical
\n
and in ISDA master netting agreements for each of the Group\u2019s legal entities to facilitate Aegon\u2019s right to offset credit risk
\n
exposure. Changes in the fair value of derivatives attributable to changes in counterparty credit risk were not significant.
\n
Aegon Integrated Annual Report
2022 |
279
\n
Notes to the consolidated financial statements
Note 44
Embedded derivatives in insurance contracts including guarantees
\n
Bifurcated guarantees for minimum benefits in insurance and investment contracts are carried at fair value. These guarantees
\n
include Guaranteed minimum withdrawal benefits (GMWB) in the United States and United Kingdom which are offered on some
\n
variable annuity products and are also assumed from a ceding company; minimum investment return guarantees on insurance
\n
products offered in the Netherlands, including group pension and traditional products; variable annuities sold in Europe.
\n
Since the price of these guarantees is not quoted in any market, the fair values of these guarantees are based on discounted
\n
cash flows calculated as the present value of future expected payments to policyholders less the present value of assessed
\n
rider fees attributable to the guarantees. Given the complexity and long-term nature of these guarantees which are unlike
\n
instruments available in financial markets, their fair values are determined by using stochastic models under a variety of market
\n
return scenarios. A variety of factors are considered, including own credit spread, expected market rates of return, equity
\n
and interest rate volatility, correlations of market returns, discount rates and actuarial assumptions. The most significant
\n
unobservable factor is own credit spread. The weighted average own credit spread used in the valuations of embedded
\n
derivatives in insurance contracts increased to 0.45% (2021: 0.23%).
\n
The expected returns are based on risk-free rates. Aegon added a premium to reflect the credit spread as required. The credit
\n
spread is set by using the Credit default swap (CDS) spreads of a reference portfolio of life insurance companies (including
\n
Aegon), adjusted to reflect the subordination of senior debt holders at the holding company level to the position of policyholders
\n
at the operating company level (who have priority in payments over other creditors). Aegon\u2019s assumptions are set by region
\n
to reflect differences in the valuation of the guarantee embedded in the insurance contracts.
\n
Aegon extrapolates yield curves beyond market observable maturities. The discount rates converge linearly in 10 years
\n
to an Ultimate Forward Rate. In the Netherlands, the ultimate forward rate is 3.65% from the last liquid point. The US ultimate
\n
forward rate extrapolates linearly beyond 30 years using an average of forward interest rates implied by the market between
\n
20 years and 30 years. In the US, the ultimate forward rate is 3.50% from the last liquid point. The uniform last liquid point for all
\n
Aegon\u2019s major currencies (EUR, USD and GBP) is set at 30 years.
\n
Since many of the assumptions are unobservable and are considered to be significant inputs to the liability valuation,
\n
the liability included in future policy benefits has been reflected within Level III of the fair value hierarchy. Refer to note
\n
36 Guarantees in insurance contracts for more details about Aegon\u2019s guarantees.
\n
Real estate
\n
Valuations of Level III investments in real estate and real estate held for own use are conducted in full by independent external
\n
appraisers at least every three to five years and reviewed at least once a year by qualified internal appraisers to ensure
\n
the value correctly reflects the fair value at the reporting date. Appraisals are different for each specific local market, but
\n
are based on market guidelines such as International Valuation Standards, Uniform Standards of Professional Appraisal
\n
Practice or guidelines issued by the Investment Property Databank. Valuations are mostly based on active market prices,
\n
adjusted for any difference in the nature, location or condition of the specific property. If such information is not available, other
\n
valuation methods are applied, considering the value that the property\u2019s net earning power will support, the value indicated
\n
by recent sales of comparable properties and the current cost of reproducing or replacing the property. Discount rates used
\n
in the valuation of real estate reflect the risk embedded in the projected cash flows for the asset being valued. Capitalization
\n
rates represent the income rate for a real estate property that reflects the relationship between a single year\u2019s net operating
\n
income expectancy and the total property price or value. For property held for own use, appraisers consider the present value
\n
of the future rental income cash flows that could be achieved had the real estate been rented to a third party.
\n
Trust pass-through securities and subordinated borrowings
\n
Trust pass-through securities and subordinated borrowings are either carried at fair value (if they are designated as financial
\n
liabilities at fair value through profit or loss) or amortized cost (with fair value being disclosed in the notes to the consolidated
\n
financial statements). For the determination of the fair value of these instruments, the level hierarchy as described by EU-IFRS
\n
is used. The preferred method of obtaining the fair value of the fair value option bonds is the quoted price (Level I). In case
\n
markets are less liquid or the quoted prices are not available, Aegon\u2019s valuation policy utilizes a pricing hierarchy which dictates
\n
that publicly available prices are initially sought from indices and third-party pricing services. The US trust pass-through
\n
securities and subordinated borrowings are classified as Level II of the fair value hierarchy.
\n
|
Aegon Integrated Annual Report
2022
280
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Investment contracts
\n
Investment contracts issued by Aegon are either carried at fair value (if they are designated as financial liabilities at fair value
\n
through profit or loss) or amortized cost (with fair value being disclosed in the notes to the consolidated financial statements).
\n
These contracts are not quoted in active markets and their fair values are determined by using valuation techniques, such
\n
as discounted cash flow methods and stochastic modeling or in relation to the unit price of the underlying assets. All models
\n
are validated and calibrated. A variety of factors are considered, including time value, volatility, policyholder behavior, servicing
\n
costs and fair values of similar instruments.
\n
Similar to embedded derivatives in insurance contracts, certain investment products are not quoted in active markets and their
\n
fair values are determined by using valuation techniques. Because of the dynamic and complex nature of these cash flows,
\n
stochastic or similar techniques under a variety of market return scenarios are often used. A variety of factors are considered,
\n
including expected market rates of return, market volatility, correlations of market returns, discount rates and actuarial
\n
assumptions.
\n
The expected returns are based on risk-free rates, such as the current Secured Overnight Financing Rate (SOFR) swap
\n
rates and associated forward rates, the Overnight Index Swap (OIS) curve or the current rates on local government bonds.
\n
London Interbank Offered Rate (LIBOR) was replaced with SOFR in the second quarter of 2022. Market volatility assumptions
\n
for each underlying index are based on observed market implied volatility data and/or observed market performance.
\n
Correlations of market returns for various underlying indices are based on observed market returns and their inter-relationships
\n
over a number of years preceding the valuation date. Current risk-free spot rates are used to determine the present value
\n
of expected future cash flows produced in the stochastic projection process.
\n
Assumptions on customer behavior, such as lapses, included in the models are derived in the same way as the assumptions
\n
used to measure insurance liabilities.
\n
Summary of total financial assets and financial liabilities at fair value through profit or loss
\n
The table that follows summarizes the carrying amounts of financial assets and financial liabilities that are classified as at fair
\n
value through profit or loss, with appropriate distinction between those financial assets and financial liabilities held for trading
\n
and those that, upon initial recognition, were designated as at fair value through profit or loss.
\n
2022
\n
1)
\n
2021
\n
Trading
Designated
Trading
Designated
\n
Investments for general account
41
4,527
41
8,440
\n
Investments for account of policyholders
-
179,563
-
250,390
\n
Derivatives with positive values not designated as hedges
2,434
-
8,184
-
\n
Total financial assets at fair value through profit or loss
2,475
184,089
8,225
258,830
\n
Investment contracts for account of policyholders
-
55,254
-
71,242
\n
Derivatives with negative values not designated as hedges
4,877
-
8,959
-
\n
Total financial liabilities at fair value through profit or loss
4,877
55,254
8,959
71,242
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Investments for general account
\n
The Group manages certain portfolios on a total return basis which have been designated at fair value through profit or loss.
\n
This includes portfolios of investments in limited partnerships and limited liability companies (primarily hedge funds and private
\n
equity funds) for which the performance is assessed internally on a total return basis. In addition, some investments for general
\n
account that include an embedded derivative that would otherwise have required bifurcation, such as convertible instruments,
\n
preferred shares and credit linked notes, have been designated at fair value through profit or loss.
\n
Aegon has certain insurance and investment liabilities that are carried at fair value with changes in the fair value recognized
\n
in the income statement. The Group has elected to designate the investments backing those liabilities at fair value through
\n
profit or loss, as a classification of available-for-sale would result in accumulation of unrealized gains and losses in a revaluation
\n
reserve within equity whilst changes to the liability would be reflected in net result (accounting mismatch).
\n
Investments for account of policyholders
\n
Investments held for account of policyholders comprise assets that are linked to various insurance and investment contracts
\n
for which the financial risks are borne by the customer. Under the Group\u2019s accounting policies these insurance and investment
\n
Aegon Integrated Annual Report
2022 |
281
\n
Notes to the consolidated financial statements
Note 44
liabilities are measured at the fair value of the linked assets with changes in the fair value recognized in the income statement.
\n
To avoid an accounting mismatch the linked assets have been designated as at fair value through profit or loss.
\n
In addition, the investment for account of policyholders include with profit assets, where Aegon manages these assets
\n
together with related liabilities on a fair value basis in accordance with a documented policy of asset and liability management.
\n
In accordance with the Group\u2019s accounting policies, these assets have been designated as at fair value through profit or loss.
\n
Investment contracts for account of policyholders
\n
With the exception of the financial liabilities with discretionary participating features that are not subject to the classification
\n
and measurement requirements for financial instruments, all investment contracts for account of policyholders that are carried
\n
at fair value or at the fair value of the linked assets are included in the table above.
\n
Derivatives
\n
With the exception of derivatives designated as a hedging instrument, all derivatives held for general account and held for
\n
account of policyholders are included in the table above.
\n
Borrowings
\n
Borrowings designated as at fair value through profit or loss includes financial instruments that are managed on a fair value
\n
basis together with related financial assets and financial derivatives (refer to note 37 Borrowings).
\n
Gains and losses on financial assets and financial liabilities classified at fair value through profit or loss
\n
Gains and losses recognized in the income statement on financial assets and financial liabilities classified as at fair value
\n
through profit or loss can be summarized as follows:
\n
2022
\n
1)
\n
2021
\n
Trading
Designated
Trading
Designated
\n
Net gains and (losses)
469
(35,054)
(2,930)
25,591
\n
1
\n
2022 excludes the disposal group, which is separately disclosed in note 51 Discontinued operations.
\n
No loans and receivables were designated at fair value through profit or loss.
\n
Changes in the fair value of investment contracts for account of policyholders designated at fair value through profit or loss
\n
were not attributable to changes in Aegon\u2019s credit spread. There are also no differences between the carrying amounts of these
\n
financial liabilities and the contractual amounts payable at maturity (net of surrender penalties).
\n
Refer to note 37 Borrowings for the impact of Aegon\u2019s own credit spread on the fair value of the borrowings designated at fair
\nvalue through profit or loss. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfFairValueOfFinancialInstrumentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f39201": {
"value": "45 Commitments and contingencies
Investments contracted
\n
In the normal course of business, the Group has committed itself through purchase and sale transactions of investments,
\n
mostly to be executed in the course of 2023. The amounts represent the future outflow and inflow, respectively, of cash related
\n
to these investment transactions that are not reflected in the consolidated statement of financial position.
\n
2022
2021
\n
Purchase
Sale
Purchase
Sale
\n
Real estate
-
1
129
6
\n
Mortgage loans
468
-
1,163
67
\n
Private loans
150
-
311
-
\n
Other
1,408
-
1,358
-
\n
Aegon has committed itself, through certain subsidiaries, to invest in real estate, private loans, mortgage loans and receivables
\n
and investment funds.
\n
Real estate commitments represent the committed pipeline of investments in real estate projects. The sale of real estate
\n
relates to properties that are under contract to be sold as per December 31. Mortgage loan commitments represent undrawn
\n
|
Aegon Integrated Annual Report
2022
282
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
mortgage loan facilities provided and outstanding proposals on mortgages. The sale of mortgage loans relates to pre-
\n
announced redemptions on mortgage loans. Private loans represent deals on Aegon's portfolio of private placement securities
\n
that Aegon has committed to, but which have not yet settled and funded. Other commitments include future purchases
\n
of interests in investment funds and limited partnerships.
\n
Future lease payments
\n
< 1 year
\n
amounts
\n
1 < 2 years
\n
amounts
\n
2 < 3 years
\n
amounts
\n
3 < 4 years
\n
amounts
\n
4 < 5 years
\n
amounts
\n
> 5 years
\n
amounts
\n
2022
\n
Operating lease rights
10
9
7
7
6
17
\n
2021
\n
Operating lease rights
8
8
6
5
5
21
\n
The operating lease rights relate to non-cancellable commercial property leases.
\n
Other commitments and contingencies
\n
2022
2021
\n
Guarantees
611
506
\n
Standby letters of credit
-
12
\n
Share of contingent liabilities incurred in relation to interests in joint ventures
-
7
\n
Other guarantees
8
11
\n
Other commitments and contingent liabilities
-
-
\n
Guarantees include those guarantees associated with the sale of investments in low-income housing tax credit partnerships
\n
in the United States, which can be called upon if there is a deficiency in the tax benefits delivered to the investor or if Aegon
\n
is in default under a material provision of the contract. Standby letters of credit amounts reflected above are the liquidity
\n
commitment notional amounts. In addition to the guarantees shown in the table, guarantees have been given for fulfillment
\n
of contractual obligations such as investment mandates related to investment funds.
\n
Contractual obligations
\n
In March 2019, affiliates of Transamerica Corporation and Long Term Care Group (LTCG), entered into a series of agreements
\n
to which Transamerica transferred to LTCG the administration and claims management of its long term care insurance
\n
business line, enabling Transamerica to accelerate the enhancement of its digital capabilities and modernize its long term care
\n
insurance platform. Over the course of the multi-year contract, Transamerica will pay approximately USD 390 million to LTCG.
\n
These fees represent compensation for administering Transamerica\u2019s long term care product line including policyholder
\n
service, claims processing and care management. The agreement also contains a termination clause in which Transamerica \u2013
\n
subject to certain limitations \u2013 agrees to compensate LTCG, on a specified schedule, for early termination.
\n
In April 2018, affiliates of Transamerica Corporation entered into a series of agreements with affiliates of Tata Consultancy
\n
Services Limited (TCS) to administer the Company\u2019s US life insurance, voluntary benefits, and annuity business lines. The intent
\n
of the relationship is for Transamerica to accelerate the enhancement of its digital capabilities and the modernization of its
\n
platforms to service its customers in all lines of business. Over the course of the multi-year contract, Transamerica could pay
\n
more than USD 2 billion to TCS. These fees represent compensation for administering Transamerica\u2019s over 10 million policies
\n
and are driven by both new business and policies already in force. Included in this agreement were transition and conversion
\n
charges which were nil at the end of 2022. There continue to be ongoing administrative, IT and finance service fees which are
\n
contingent on TCS meeting specified milestones in the underlying agreement with Transamerica. The agreement also contains
\n
termination clauses which in certain conditions and subject to certain limitations, could require Transamerica to compensate
\n
TCS, on a specified schedule, for early termination.
\n
In November 2018, Aegon UK announced an extended partnership with Atos BPS Ltd (Atos) to service and administer its
\n
Traditional Products Business (non-Platform customers). The agreement is a 15-year contract under which Aegon UK pays
\n
Atos to administer around 1.4 million customers, which took effect on June 1, 2019 as planned. At year-end 2022, outstanding
\n
transition and conversion charges are estimated to amount to approximately GBP 10 million, which are expected to be recorded
\n
Aegon Integrated Annual Report
2022 |
283
\n
Notes to the consolidated financial statements
Note 45
over the next year, with fixed payments to Atos defined in the agreement and subject to completion of milestones which have
\n
been agreed with Aegon UK.
\n
On October 31, 2017, Aegon the Netherlands sold its shares in Unirobe Mee\u00f9s Groep (UMG) for EUR 295 million to Aon Groep
\n
Nederland. Under the share purchase agreement between Aegon Nederland and the buyer, Aegon the Netherlands indemnifies
\n
and holds the buyer and its group (including UMG) harmless for and against any damage suffered or incurred which is the result
\n
of the Unit Linked Insurances Claims until 2027 with respect to Unit Linked Policies in the portfolio of UMG prior to January 1,
\n
2017. The aggregate liability for Aegon the Netherlands is maximized at an amount equal to the purchase price.
\n
An Aegon N.V. indirect US life subsidiary has a net worth maintenance agreement with its subsidiary Transamerica Life
\n
(Bermuda) Ltd, pursuant to which Transamerica Life Insurance Company, a US life insurance subsidiary, will provide capital
\n
sufficient to maintain a S&P 'AA' financial strength rating and capital sufficient to comply with the requirements of the countries
\n
in which its branches are located.
\n
Aegon N.V. has guaranteed and is severally liable for the following:
\n
\u2022
\n
Due and punctual payment of payables under letter of credit agreements applied for by Aegon N.V. as co-applicant with its
\n
captive insurance companies that are subsidiaries of Transamerica Corporation and Commonwealth General Corporation.
\n
At December 31, 2022, the letter of credit arrangements utilized by captives to provide collateral to affiliates amounted to
\n
EUR 511 million (2021: EUR 1,157 million); as of that date no amounts had been drawn, or were due under these facilities;
\n
\u2022
\n
Due and punctual payment of payables by the consolidated group companies Transamerica Corporation, Aegon Funding
\n
Company LLC and Commonwealth General Corporation with respect to fixed subordinated notes, bonds, capital trust
\n
pass-through securities and notes issued under commercial paper programs amounting to EUR 1,042 million (2021:
\n
EUR 987 million); and
\n
\u2022
\n
Due and punctual payment of any amounts owed to third parties by the consolidated group company Aegon Derivatives N.V.
\n
in connection with derivative transactions. Aegon Derivatives N.V. enters into derivative transactions with counterparties
\n
with which ISDA master netting agreements, including collateral support annex agreements, have been agreed. Net (credit)
\nexposure on derivative transactions with these counterparties was therefore limited as of December 31, 2022.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCommitmentsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f39202": {
"value": "45 Commitments and contingencies
Investments contracted
\n
In the normal course of business, the Group has committed itself through purchase and sale transactions of investments,
\n
mostly to be executed in the course of 2023. The amounts represent the future outflow and inflow, respectively, of cash related
\n
to these investment transactions that are not reflected in the consolidated statement of financial position.
\n
2022
2021
\n
Purchase
Sale
Purchase
Sale
\n
Real estate
-
1
129
6
\n
Mortgage loans
468
-
1,163
67
\n
Private loans
150
-
311
-
\n
Other
1,408
-
1,358
-
\n
Aegon has committed itself, through certain subsidiaries, to invest in real estate, private loans, mortgage loans and receivables
\n
and investment funds.
\n
Real estate commitments represent the committed pipeline of investments in real estate projects. The sale of real estate
\n
relates to properties that are under contract to be sold as per December 31. Mortgage loan commitments represent undrawn
\n
|
Aegon Integrated Annual Report
2022
282
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
mortgage loan facilities provided and outstanding proposals on mortgages. The sale of mortgage loans relates to pre-
\n
announced redemptions on mortgage loans. Private loans represent deals on Aegon's portfolio of private placement securities
\n
that Aegon has committed to, but which have not yet settled and funded. Other commitments include future purchases
\n
of interests in investment funds and limited partnerships.
\n
Future lease payments
\n
< 1 year
\n
amounts
\n
1 < 2 years
\n
amounts
\n
2 < 3 years
\n
amounts
\n
3 < 4 years
\n
amounts
\n
4 < 5 years
\n
amounts
\n
> 5 years
\n
amounts
\n
2022
\n
Operating lease rights
10
9
7
7
6
17
\n
2021
\n
Operating lease rights
8
8
6
5
5
21
\n
The operating lease rights relate to non-cancellable commercial property leases.
\n
Other commitments and contingencies
\n
2022
2021
\n
Guarantees
611
506
\n
Standby letters of credit
-
12
\n
Share of contingent liabilities incurred in relation to interests in joint ventures
-
7
\n
Other guarantees
8
11
\n
Other commitments and contingent liabilities
-
-
\n
Guarantees include those guarantees associated with the sale of investments in low-income housing tax credit partnerships
\n
in the United States, which can be called upon if there is a deficiency in the tax benefits delivered to the investor or if Aegon
\n
is in default under a material provision of the contract. Standby letters of credit amounts reflected above are the liquidity
\n
commitment notional amounts. In addition to the guarantees shown in the table, guarantees have been given for fulfillment
\n
of contractual obligations such as investment mandates related to investment funds.
\n
Contractual obligations
\n
In March 2019, affiliates of Transamerica Corporation and Long Term Care Group (LTCG), entered into a series of agreements
\n
to which Transamerica transferred to LTCG the administration and claims management of its long term care insurance
\n
business line, enabling Transamerica to accelerate the enhancement of its digital capabilities and modernize its long term care
\n
insurance platform. Over the course of the multi-year contract, Transamerica will pay approximately USD 390 million to LTCG.
\n
These fees represent compensation for administering Transamerica\u2019s long term care product line including policyholder
\n
service, claims processing and care management. The agreement also contains a termination clause in which Transamerica \u2013
\n
subject to certain limitations \u2013 agrees to compensate LTCG, on a specified schedule, for early termination.
\n
In April 2018, affiliates of Transamerica Corporation entered into a series of agreements with affiliates of Tata Consultancy
\n
Services Limited (TCS) to administer the Company\u2019s US life insurance, voluntary benefits, and annuity business lines. The intent
\n
of the relationship is for Transamerica to accelerate the enhancement of its digital capabilities and the modernization of its
\n
platforms to service its customers in all lines of business. Over the course of the multi-year contract, Transamerica could pay
\n
more than USD 2 billion to TCS. These fees represent compensation for administering Transamerica\u2019s over 10 million policies
\n
and are driven by both new business and policies already in force. Included in this agreement were transition and conversion
\n
charges which were nil at the end of 2022. There continue to be ongoing administrative, IT and finance service fees which are
\n
contingent on TCS meeting specified milestones in the underlying agreement with Transamerica. The agreement also contains
\n
termination clauses which in certain conditions and subject to certain limitations, could require Transamerica to compensate
\n
TCS, on a specified schedule, for early termination.
\n
In November 2018, Aegon UK announced an extended partnership with Atos BPS Ltd (Atos) to service and administer its
\n
Traditional Products Business (non-Platform customers). The agreement is a 15-year contract under which Aegon UK pays
\n
Atos to administer around 1.4 million customers, which took effect on June 1, 2019 as planned. At year-end 2022, outstanding
\n
transition and conversion charges are estimated to amount to approximately GBP 10 million, which are expected to be recorded
\n
Aegon Integrated Annual Report
2022 |
283
\n
Notes to the consolidated financial statements
Note 45
over the next year, with fixed payments to Atos defined in the agreement and subject to completion of milestones which have
\n
been agreed with Aegon UK.
\n
On October 31, 2017, Aegon the Netherlands sold its shares in Unirobe Mee\u00f9s Groep (UMG) for EUR 295 million to Aon Groep
\n
Nederland. Under the share purchase agreement between Aegon Nederland and the buyer, Aegon the Netherlands indemnifies
\n
and holds the buyer and its group (including UMG) harmless for and against any damage suffered or incurred which is the result
\n
of the Unit Linked Insurances Claims until 2027 with respect to Unit Linked Policies in the portfolio of UMG prior to January 1,
\n
2017. The aggregate liability for Aegon the Netherlands is maximized at an amount equal to the purchase price.
\n
An Aegon N.V. indirect US life subsidiary has a net worth maintenance agreement with its subsidiary Transamerica Life
\n
(Bermuda) Ltd, pursuant to which Transamerica Life Insurance Company, a US life insurance subsidiary, will provide capital
\n
sufficient to maintain a S&P 'AA' financial strength rating and capital sufficient to comply with the requirements of the countries
\n
in which its branches are located.
\n
Aegon N.V. has guaranteed and is severally liable for the following:
\n
\u2022
\n
Due and punctual payment of payables under letter of credit agreements applied for by Aegon N.V. as co-applicant with its
\n
captive insurance companies that are subsidiaries of Transamerica Corporation and Commonwealth General Corporation.
\n
At December 31, 2022, the letter of credit arrangements utilized by captives to provide collateral to affiliates amounted to
\n
EUR 511 million (2021: EUR 1,157 million); as of that date no amounts had been drawn, or were due under these facilities;
\n
\u2022
\n
Due and punctual payment of payables by the consolidated group companies Transamerica Corporation, Aegon Funding
\n
Company LLC and Commonwealth General Corporation with respect to fixed subordinated notes, bonds, capital trust
\n
pass-through securities and notes issued under commercial paper programs amounting to EUR 1,042 million (2021:
\n
EUR 987 million); and
\n
\u2022
\n
Due and punctual payment of any amounts owed to third parties by the consolidated group company Aegon Derivatives N.V.
\n
in connection with derivative transactions. Aegon Derivatives N.V. enters into derivative transactions with counterparties
\n
with which ISDA master netting agreements, including collateral support annex agreements, have been agreed. Net (credit)
\n
exposure on derivative transactions with these counterparties was therefore limited as of December 31, 2022.
\n
Legal and arbitration proceedings, regulatory investigations and actions
\n
Aegon faces significant risks of litigation as well as regulatory exams and investigations and actions relating to its and its
\n
subsidiaries\u2019 businesses. Aegon is also subject to compliance with regulations applicable to it as a corporate entity.
\n
Due to the geographic spread of its business, Aegon Group may be subject to tax audits or litigation in various jurisdictions.
\n
Although uncertainties are provided for adequately in the tax position, the ultimate outcome of tax audits or litigation may result
\n
in an outcome that differs from the amounts provided for.
\n
Insurance companies and their affiliated regulated entities are routinely subject to litigation, investigation and regulatory
\n
activity by various governmental and enforcement authorities, individual claimants and policyholder advocate groups
\n
in the jurisdictions in which Aegon does business, including the United States, the Netherlands, Poland and the United Kingdom.
\n
These actions may involve issues including, but not limited to, employment or distribution relationships; operational and internal
\n
controls and processes; investment returns; sales practices; transparency and adequacy of product disclosures including
\n
regarding initial costs, ongoing costs, and costs due on policy surrender as well as changes to costs over time; environmental
\n
and climate change related matters; competition and antitrust matters; data privacy; information security; intellectual property;
\n
and anti-money laundering, anti-bribery and economic sanctions compliance.
\n
Government and regulatory investigations may result in the institution of administrative, injunctive or other proceedings
\n
and/or the imposition of monetary fines, penalties and/or disgorgement as well as other remedies, sanctions, damages and
\n
restitutionary amounts. Regulators may also seek changes to the way Aegon operates. In some cases, Aegon subsidiaries have
\n
modified business practices in response to inquiries.
\n
Customers of certain Aegon products bear significant investment risks with respect to those products, which are affected
\n
by fluctuations in equity markets as well as interest rate movements. When investment returns disappoint, are volatile
\n
or change due to changes in the market or other relevant conditions, customers may threaten or bring litigation against Aegon.
\n
Disputes and investigations initiated by governmental entities and private parties may lead to orders or settlements including
\n
payments or changes to business practices even if Aegon believes the underlying claims are without merit.
\n
|
Aegon Integrated Annual Report
2022
284
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The existence of potential claims may remain unknown for long periods of time after the events giving rise to such claims.
\n
Determining the likelihood of exposure to Aegon and the extent of any such exposure may not be possible for long periods
\n
of time after Aegon becomes aware of such potential claims. Litigation exposure may develop over long periods of time; once
\n
litigation is initiated, it may be protracted and subject to multiple levels of appeal, which can lead to significant costs of defense,
\n
adverse publicity and other constraints.
\n
In some jurisdictions, plaintiffs may seek recovery of very large or indeterminate amounts under claims of bad faith, which
\n
can result in tort, punitive and/or statutory damages. Damages alleged may not be quantifiable or supportable, or may have
\n
no relationship to economic losses or final awards. As a result, Aegon cannot predict the effect of litigation, investigations
\n
or other actions on its business.
\n
Separate from financial loss, litigation, regulatory action, legislative changes or changes in public opinion may require Aegon
\n
to change its business practices, which could have a material adverse impact on Aegon\u2019s businesses, results of operations,
\n
cash flows and financial position.
\n
Proceedings in which Aegon is involved
\n
Several US insurers, including Aegon subsidiaries, have been named in class actions as well as individual litigation relating
\n
to increases in monthly deduction rates (MDR) on universal life products. Plaintiffs generally allege that the increases were
\n
made to recoup past losses rather than to cover the future costs of providing insurance coverage. Aegon's subsidiary
\n
in the US has settled two such class actions that had been venued in the US District Court for the Central District of California.
\n
The settlement in the first of these cases, approved in January 2019, arose from increases implemented in 2015-2016. Over
\n
99% of affected policyholders participated in that settlement. While less than 1% of policyholders opted out of the settlement,
\n
they represented approximately 43% of the value of the settlement fund. In a second case, Aegon\u2019s subsidiary agreed to settle
\n
a class action lawsuit arising out of MDR increases in 2017 and 2018. The court approved that settlement in September
\n
2020. Opt-outs in this case represented less than 7% of the value of the settlement fund. The settlement fund was reduced
\n
proportionally for opt outs. In 2022, settlements were reached with some of the opt-out parties from both settled class actions.
\n
The remaining opt-out cases and disputes are ongoing, and Aegon continues to hold a provision for the remaining opt-outs from
\n
the settlements that were approved by the court in 2019 and 2020. If this provision for these cases proves to be insufficient,
\n
then these matters could have an adverse effect on Aegon's business, results of operations, and financial position. A third case
\n
was filed in October 2022 which relates to MDR increases in 2022 and 2023, Aegon\u2019s subsidiary has filed a motion to change
\n
venue. At this time, Aegon is unable to estimate the range or potential maximum liability.
\n
Transamerica subsidiaries may face employment-related lawsuits from time to time. For example, several Transamerica
\n
subsidiaries are defendants in a class action alleging that the business model at issue improperly characterizes distributors
\n
as independent contractors instead of employees. Depending on the outcome, these lawsuits, along with similar claims against
\n
Transamerica subsidiaries and other companies and regulatory action could result in significant settlements or judgments, and
\n
could necessitate a change in the distribution model, which would be costly and could have a material impact on the financial
\n
results for that part of the Transamerica business.
\n
A former subsidiary of Transamerica Corporation was involved in a contractual dispute with a Nigerian travel broker that
\n
arose in 1976. That dispute was resolved in Delaware court for USD 235 thousand plus interest in 2010. The plaintiff took
\n
the Delaware judgment relating to the 1976 dispute to a Nigerian court and alleged that it was entitled to approximately
\n
the same damages for 1977 through 1984 despite the absence of any contract relating to those years. The Nigerian trial court
\n
issued a judgment in favor of the plaintiff of the alleged actual damages as well as pre-judgment interest of approximately
\n
USD 120 million. On appeal this decision was reversed on procedural grounds and remanded back to the trial court which ruled
\n
to dismiss the case; however, the Plaintiff appealed the trial court\u2019s ruling. The appellate hearing which was originally scheduled
\n
for March 2022, as well as the hearing that was scheduled for January 12, 2023, on the request for substitution of Plaintiff\u2019s son
\n
were both cancelled by the court and neither has been rescheduled. Aegon has no material assets located in Nigeria.
\n
In Poland, owners of unit-linked policies continue to file claims in civil court against Aegon over fees payable upon purchase
\n
or surrender of the product. Plaintiffs claim that these fees are not contractually supported. Aegon faces a significant number
\n
of these cases. For reasons of commercial necessity as well as at the instigation of the regulatory authorities, Aegon decided
\n
to modify the fee structure. As of 2023, a provision of EUR 6 million remains, which represents management's best estimate
\n
of the exposure. The final amount may vary based on regulatory developments and the outcome of litigation.
\n
Aegon Integrated Annual Report
2022 |
285
\n
Notes to the consolidated financial statements
Note 45
In the Netherlands, unit linked products (beleggingsverzekeringen) have been controversial and the target of litigation since
\n
at least 2005. Allegations include excessive cost, unfair terms, inadequate disclosure, and failure to perform as illustrated.
\n
Consumer groups have formed to address these issues and initiate mass claims against insurers. Regulators as well
\n
as the Dutch Parliament have been involved ever since, with the principal goal of achieving an equitable resolution. Aegon
\n
has made improvements across its product lines, including after settlements reached in 2009 with Stichting Woekerpolis
\n
and Stichting Verliespolis. Aegon also decided to reduce future policy costs for the large majority of its unit-linked portfolio.
\n
Some of the unit linked products are still involved in ongoing litigation. In September 2014, consumer interest group
\n
Vereniging Woekerpolis.nl filed a claim against Aegon in court. The claim related to a range of unit linked products that
\n
Aegon sold in the past, including Aegon products involved in the earlier litigation. The claim challenges a variety of elements
\n
of these products, on multiple legal grounds, including allegations made previously. In June 2017 (and revised in December
\n
2017), the court issued a verdict which upheld the principle that disclosures must be evaluated according to the standards
\n
at the time when the relevant products were placed in-force. Most of the claims of Vereniging Woekerpolis.nl were dismissed
\n
under this standard, although the court found that Aegon did not adequately disclose certain charges on a limited set
\n
of policies. The district court did not decide on the reasonableness of the cost levels and whether the previous compensation
\n
arrangements provide sufficient compensation. This court decision has been appealed by both parties. The Court of Appeal
\n
has stayed the proceedings during the preliminary proceedings at the Supreme Court in another class action of Vereniging
\n
Woekerpolis.nl against another insurance company. On February 11, 2022 the Supreme Court ruled in these preliminary
\n
proceedings. The answers to the preliminary questions of the court regarding transparency and consent about costs and cost
\n
levels are a (re)confirmation of the EU Court ruling in a previous case against another insurance company. The legal debate
\n
will now continue at the level of the Court of Appeal. Aegon expects the uncertainty about the possible impact to continue for
\n
the foreseeable future. Developments in similar cases against other Dutch insurers currently before regulators and courts
\n
may also affect Aegon. At this time, Aegon is unable to estimate the range or potential maximum liability. There can be no
\n
assurances that these matters, in the aggregate, will not ultimately result in a material adverse effect on Aegon's business,
\n
results of operations and financial position.
\n
Securities leasing products (aandelenlease producten) have also been the subject of litigation in the Netherlands. Although
\n
sales of securities leasing products ended more than a decade ago, litigation relating to these products has resurfaced.
\n
In December 2020 Aegon Bank N.V. reached an agreement in principle on a settlement with Leaseproces B.V. for claims
\n
regarding Vliegwiel and Sprintplan customers represented by Leaseproces. On June 4, 2021 Aegon and Leaseproces B.V.
\n
announced it had finalized its agreement to settle these claims. In September 2021, the parties announced that more than
\n
90% of customers had agreed to the settlement, by which the last remaining threshold was met. Subsequently, most claims
\n
have been paid during the fourth quarter 2021, with a small amount remaining at year-end. As part of the settlement agreement,
\n
the accountant will now be instructed to perform an audit on the cash flows between Aegon-Leaseproces-clients. There are
\n
currently only two individual court cases pending regarding Sprintplan. The Court of Appeal denied all claims against Aegon
\n
in the first case and the other case is still pending. There can be no assurances that Aegon is able to resolve these cases
\n
in the way it expects and that this matter will not ultimately result in a material adverse effect on Aegon's business, results
\n
of operations and financial position.
\n
In 2019 Optas N.V., a life insurance company owned by Aegon merged with Aegon Levensverzekering N.V. following approval
\n
of the merger by DNB. A number of policyholders filed complaints against DNB\u2019s decision to approve the merger and appealed
\n
this decision at the administrative Court after DNB persisted in its approval. On February 13, 2023, the administrative Court
\n
annulled DNB\u2019s decision to approve the merger as the court is of the opinion that in the interest of policyholders, among
\n
other things, DNB should have required Aegon to individually inform all policyholders in writing regarding the merger and
\n
the possibility to oppose the merger. As at March 8, 2023 no appeal has been filed against the administrative Court\u2019s decision.
\n
The decision is open to appeal until March 27, 2023. The Financial Markets Supervision act provides that the annulment
\n
of DNB\u2019s approval from an administrative law perspective in itself does not affect the legality of the merger from a civil law
\n
perspective. This has been confirmed by a ruling of the civil Court in a civil case opposing the merger brought against Aegon
\n
by three policyholders. The policyholders were unsuccessful in first instance and the case is now under appeal. Although Aegon
\n
does not expect the pending litigation at the administrative Court and the civil Court to have a material, if any, impact there
\n
can be no assurances that these matters will not ultimately result in a material adverse effect on Aegon's business, results
\nof operations and financial position. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCommitmentsAndContingentLiabilitiesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f39295": {
"value": "
Other commitments and contingencies
\n
2022
2021
\n
Guarantees
611
506
\n
Standby letters of credit
-
12
\n
Share of contingent liabilities incurred in relation to interests in joint ventures
-
7
\n
Other guarantees
8
11
\n
Other commitments and contingent liabilities
-
-
\n
Guarantees include those guarantees associated with the sale of investments in low-income housing tax credit partnerships
\n
in the United States, which can be called upon if there is a deficiency in the tax benefits delivered to the investor or if Aegon
\n
is in default under a material provision of the contract. Standby letters of credit amounts reflected above are the liquidity
\n
commitment notional amounts. In addition to the guarantees shown in the table, guarantees have been given for fulfillment
\n
of contractual obligations such as investment mandates related to investment funds.
Legal and arbitration proceedings, regulatory investigations and actions
\n
Aegon faces significant risks of litigation as well as regulatory exams and investigations and actions relating to its and its
\n
subsidiaries\u2019 businesses. Aegon is also subject to compliance with regulations applicable to it as a corporate entity.
\n
Due to the geographic spread of its business, Aegon Group may be subject to tax audits or litigation in various jurisdictions.
\n
Although uncertainties are provided for adequately in the tax position, the ultimate outcome of tax audits or litigation may result
\n
in an outcome that differs from the amounts provided for.
\n
Insurance companies and their affiliated regulated entities are routinely subject to litigation, investigation and regulatory
\n
activity by various governmental and enforcement authorities, individual claimants and policyholder advocate groups
\n
in the jurisdictions in which Aegon does business, including the United States, the Netherlands, Poland and the United Kingdom.
\n
These actions may involve issues including, but not limited to, employment or distribution relationships; operational and internal
\n
controls and processes; investment returns; sales practices; transparency and adequacy of product disclosures including
\n
regarding initial costs, ongoing costs, and costs due on policy surrender as well as changes to costs over time; environmental
\n
and climate change related matters; competition and antitrust matters; data privacy; information security; intellectual property;
\n
and anti-money laundering, anti-bribery and economic sanctions compliance.
\n
Government and regulatory investigations may result in the institution of administrative, injunctive or other proceedings
\n
and/or the imposition of monetary fines, penalties and/or disgorgement as well as other remedies, sanctions, damages and
\n
restitutionary amounts. Regulators may also seek changes to the way Aegon operates. In some cases, Aegon subsidiaries have
\n
modified business practices in response to inquiries.
\n
Customers of certain Aegon products bear significant investment risks with respect to those products, which are affected
\n
by fluctuations in equity markets as well as interest rate movements. When investment returns disappoint, are volatile
\n
or change due to changes in the market or other relevant conditions, customers may threaten or bring litigation against Aegon.
\n
Disputes and investigations initiated by governmental entities and private parties may lead to orders or settlements including
\n
payments or changes to business practices even if Aegon believes the underlying claims are without merit.
The existence of potential claims may remain unknown for long periods of time after the events giving rise to such claims.
\n
Determining the likelihood of exposure to Aegon and the extent of any such exposure may not be possible for long periods
\n
of time after Aegon becomes aware of such potential claims. Litigation exposure may develop over long periods of time; once
\n
litigation is initiated, it may be protracted and subject to multiple levels of appeal, which can lead to significant costs of defense,
\n
adverse publicity and other constraints.
\n
In some jurisdictions, plaintiffs may seek recovery of very large or indeterminate amounts under claims of bad faith, which
\n
can result in tort, punitive and/or statutory damages. Damages alleged may not be quantifiable or supportable, or may have
\n
no relationship to economic losses or final awards. As a result, Aegon cannot predict the effect of litigation, investigations
\n
or other actions on its business.
\n
Separate from financial loss, litigation, regulatory action, legislative changes or changes in public opinion may require Aegon
\n
to change its business practices, which could have a material adverse impact on Aegon\u2019s businesses, results of operations,
\n
cash flows and financial position.
\n
Proceedings in which Aegon is involved
\n
Several US insurers, including Aegon subsidiaries, have been named in class actions as well as individual litigation relating
\n
to increases in monthly deduction rates (MDR) on universal life products. Plaintiffs generally allege that the increases were
\n
made to recoup past losses rather than to cover the future costs of providing insurance coverage. Aegon's subsidiary
\n
in the US has settled two such class actions that had been venued in the US District Court for the Central District of California.
\n
The settlement in the first of these cases, approved in January 2019, arose from increases implemented in 2015-2016. Over
\n
99% of affected policyholders participated in that settlement. While less than 1% of policyholders opted out of the settlement,
\n
they represented approximately 43% of the value of the settlement fund. In a second case, Aegon\u2019s subsidiary agreed to settle
\n
a class action lawsuit arising out of MDR increases in 2017 and 2018. The court approved that settlement in September
\n
2020. Opt-outs in this case represented less than 7% of the value of the settlement fund. The settlement fund was reduced
\n
proportionally for opt outs. In 2022, settlements were reached with some of the opt-out parties from both settled class actions.
\n
The remaining opt-out cases and disputes are ongoing, and Aegon continues to hold a provision for the remaining opt-outs from
\n
the settlements that were approved by the court in 2019 and 2020. If this provision for these cases proves to be insufficient,
\n
then these matters could have an adverse effect on Aegon's business, results of operations, and financial position. A third case
\n
was filed in October 2022 which relates to MDR increases in 2022 and 2023, Aegon\u2019s subsidiary has filed a motion to change
\n
venue. At this time, Aegon is unable to estimate the range or potential maximum liability.
\n
Transamerica subsidiaries may face employment-related lawsuits from time to time. For example, several Transamerica
\n
subsidiaries are defendants in a class action alleging that the business model at issue improperly characterizes distributors
\n
as independent contractors instead of employees. Depending on the outcome, these lawsuits, along with similar claims against
\n
Transamerica subsidiaries and other companies and regulatory action could result in significant settlements or judgments, and
\n
could necessitate a change in the distribution model, which would be costly and could have a material impact on the financial
\n
results for that part of the Transamerica business.
\n
A former subsidiary of Transamerica Corporation was involved in a contractual dispute with a Nigerian travel broker that
\n
arose in 1976. That dispute was resolved in Delaware court for USD 235 thousand plus interest in 2010. The plaintiff took
\n
the Delaware judgment relating to the 1976 dispute to a Nigerian court and alleged that it was entitled to approximately
\n
the same damages for 1977 through 1984 despite the absence of any contract relating to those years. The Nigerian trial court
\n
issued a judgment in favor of the plaintiff of the alleged actual damages as well as pre-judgment interest of approximately
\n
USD 120 million. On appeal this decision was reversed on procedural grounds and remanded back to the trial court which ruled
\n
to dismiss the case; however, the Plaintiff appealed the trial court\u2019s ruling. The appellate hearing which was originally scheduled
\n
for March 2022, as well as the hearing that was scheduled for January 12, 2023, on the request for substitution of Plaintiff\u2019s son
\n
were both cancelled by the court and neither has been rescheduled. Aegon has no material assets located in Nigeria.
\n
In Poland, owners of unit-linked policies continue to file claims in civil court against Aegon over fees payable upon purchase
\n
or surrender of the product. Plaintiffs claim that these fees are not contractually supported. Aegon faces a significant number
\n
of these cases. For reasons of commercial necessity as well as at the instigation of the regulatory authorities, Aegon decided
\n
to modify the fee structure. As of 2023, a provision of EUR 6 million remains, which represents management's best estimate
\n
of the exposure. The final amount may vary based on regulatory developments and the outcome of litigation.
In the Netherlands, unit linked products (beleggingsverzekeringen) have been controversial and the target of litigation since
\n
at least 2005. Allegations include excessive cost, unfair terms, inadequate disclosure, and failure to perform as illustrated.
\n
Consumer groups have formed to address these issues and initiate mass claims against insurers. Regulators as well
\n
as the Dutch Parliament have been involved ever since, with the principal goal of achieving an equitable resolution. Aegon
\n
has made improvements across its product lines, including after settlements reached in 2009 with Stichting Woekerpolis
\n
and Stichting Verliespolis. Aegon also decided to reduce future policy costs for the large majority of its unit-linked portfolio.
\n
Some of the unit linked products are still involved in ongoing litigation. In September 2014, consumer interest group
\n
Vereniging Woekerpolis.nl filed a claim against Aegon in court. The claim related to a range of unit linked products that
\n
Aegon sold in the past, including Aegon products involved in the earlier litigation. The claim challenges a variety of elements
\n
of these products, on multiple legal grounds, including allegations made previously. In June 2017 (and revised in December
\n
2017), the court issued a verdict which upheld the principle that disclosures must be evaluated according to the standards
\n
at the time when the relevant products were placed in-force. Most of the claims of Vereniging Woekerpolis.nl were dismissed
\n
under this standard, although the court found that Aegon did not adequately disclose certain charges on a limited set
\n
of policies. The district court did not decide on the reasonableness of the cost levels and whether the previous compensation
\n
arrangements provide sufficient compensation. This court decision has been appealed by both parties. The Court of Appeal
\n
has stayed the proceedings during the preliminary proceedings at the Supreme Court in another class action of Vereniging
\n
Woekerpolis.nl against another insurance company. On February 11, 2022 the Supreme Court ruled in these preliminary
\n
proceedings. The answers to the preliminary questions of the court regarding transparency and consent about costs and cost
\n
levels are a (re)confirmation of the EU Court ruling in a previous case against another insurance company. The legal debate
\n
will now continue at the level of the Court of Appeal. Aegon expects the uncertainty about the possible impact to continue for
\n
the foreseeable future. Developments in similar cases against other Dutch insurers currently before regulators and courts
\n
may also affect Aegon. At this time, Aegon is unable to estimate the range or potential maximum liability. There can be no
\n
assurances that these matters, in the aggregate, will not ultimately result in a material adverse effect on Aegon's business,
\n
results of operations and financial position.
\n
Securities leasing products (aandelenlease producten) have also been the subject of litigation in the Netherlands. Although
\n
sales of securities leasing products ended more than a decade ago, litigation relating to these products has resurfaced.
\n
In December 2020 Aegon Bank N.V. reached an agreement in principle on a settlement with Leaseproces B.V. for claims
\n
regarding Vliegwiel and Sprintplan customers represented by Leaseproces. On June 4, 2021 Aegon and Leaseproces B.V.
\n
announced it had finalized its agreement to settle these claims. In September 2021, the parties announced that more than
\n
90% of customers had agreed to the settlement, by which the last remaining threshold was met. Subsequently, most claims
\n
have been paid during the fourth quarter 2021, with a small amount remaining at year-end. As part of the settlement agreement,
\n
the accountant will now be instructed to perform an audit on the cash flows between Aegon-Leaseproces-clients. There are
\n
currently only two individual court cases pending regarding Sprintplan. The Court of Appeal denied all claims against Aegon
\n
in the first case and the other case is still pending. There can be no assurances that Aegon is able to resolve these cases
\n
in the way it expects and that this matter will not ultimately result in a material adverse effect on Aegon's business, results
\n
of operations and financial position.
\n
In 2019 Optas N.V., a life insurance company owned by Aegon merged with Aegon Levensverzekering N.V. following approval
\n
of the merger by DNB. A number of policyholders filed complaints against DNB\u2019s decision to approve the merger and appealed
\n
this decision at the administrative Court after DNB persisted in its approval. On February 13, 2023, the administrative Court
\n
annulled DNB\u2019s decision to approve the merger as the court is of the opinion that in the interest of policyholders, among
\n
other things, DNB should have required Aegon to individually inform all policyholders in writing regarding the merger and
\n
the possibility to oppose the merger. As at March 8, 2023 no appeal has been filed against the administrative Court\u2019s decision.
\n
The decision is open to appeal until March 27, 2023. The Financial Markets Supervision act provides that the annulment
\n
of DNB\u2019s approval from an administrative law perspective in itself does not affect the legality of the merger from a civil law
\n
perspective. This has been confirmed by a ruling of the civil Court in a civil case opposing the merger brought against Aegon
\n
by three policyholders. The policyholders were unsuccessful in first instance and the case is now under appeal. Although Aegon
\n
does not expect the pending litigation at the administrative Court and the civil Court to have a material, if any, impact there
\n
can be no assurances that these matters will not ultimately result in a material adverse effect on Aegon's business, results
of operations and financial position. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfContingentLiabilitiesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f39567": {
"value": "46 Transfers of financial assets
Transfers of financial assets occur when Aegon transfers contractual rights to receive cash flows of financial assets or when
\n
Aegon retains the contractual rights to receive the cash flows of the transferred financial asset, but assumes a contractual
\n
obligation to pay the cash flows to one or more recipients in that arrangement.
\n
In the normal course of business Aegon is involved in the following transactions:
\n
\u2022
\n
Transferred financial assets that are not derecognized in their entirety:
\n
\u2022
Securities lending; whereby Aegon legally (but not economically) transfers assets and receives cash and non-cash
\n
collateral. The transferred assets are not derecognized. The obligation to repay the cash collateral is recognized as a
\n
liability. The non-cash collateral is not recognized in the statement of financial position; and
\n
\u2022
Repurchase activities; whereby Aegon receives cash for the transferred assets. The financial assets are legally (but not
\n
economically) transferred, but are not derecognized. The obligation to repay the cash received is recognized as a liability.
\n
\u2022
\n
Transferred financial assets that are derecognized in their entirety and Aegon does not have a continuing involvement
\n
(normal sale);
\n
\u2022
\n
Transferred financial assets that are derecognized in their entirety, but where Aegon has a continuing involvement;
\n
\u2022
\n
Collateral accepted in the case of securities lending, reverse repurchase agreement and derivative transactions; and
\n
\u2022
\n
Collateral pledged in the case of (contingent) liabilities, repurchase agreements, securities borrowing and derivative
\n
transactions.
\n
The following disclosures provide details for transferred financial assets that are not derecognized in their entirety, transferred
\n
financial asset that are derecognized in their entirety, but where Aegon has a continuing involvement and assets accepted and
\n
pledged as collateral.
\n
46.1 Transferred financial assets that have not been derecognized in their entirety
\n
The following table reflects the carrying amount of financial assets that have been transferred to another party in such a way
\n
that part or all of the transferred financial assets do not qualify for derecognition. Furthermore, it reflects the carrying amounts
\n
of the associated liabilities.
\n
2022
\n
1)
\n
Available-for-sale financial assets
\n
Financial assets at fair
\n
value through profit or loss
\n
Shares
Debt securities
Debt securities
\n
Investments for
\n
account of policy-
\n
holders
\n
Carrying amount of transferred assets
-
2,200
16
72
\n
Carrying amount of associated liabilities
-
2,513
17
-
\n
1
\n
2022 excludes the assets and liabilities of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
2021
\n
Available-for-sale financial assets
\n
Financial assets at fair
\n
value through profit or loss
\n
Shares
Debt securities
Debt securities
\n
Investments
\n
for account of
\n
policyholders
\n
Carrying amount of transferred assets
34
3,705
12
96
\n
Carrying amount of associated liabilities
37
3,941
18
-
\n
Securities lending and repurchase activities
\n
The table above includes financial assets that have been transferred to another party under securities lending and
\n
repurchase activities.
\n
Aegon retains substantially all risks and rewards of those transferred assets, this includes credit risk, settlement risk, country
\n
risk and market risk. The assets are transferred in return for cash collateral or other financial assets. Non-cash collateral is not
\n
recognized in the statement of financial position. Cash collateral is recorded on the statement of financial position as an asset
\n
and an offsetting liability is established for the same amount as Aegon is obligated to return this amount upon termination
\n
of the lending arrangement. Cash collateral is usually invested in pre-designated high quality investments. The sum of cash
\n
and non-cash collateral is typically greater than the market value of the related securities loaned. Refer to note 46.3 Assets
\n
Aegon Integrated Annual Report
2022 |
287
\n
Notes to the consolidated financial statements
Note 46
accepted and note 46.4 Assets pledged for an analysis of collateral accepted and pledged in relation to securities lending and
\n
repurchase agreements.
\n
46.2 Transferred financial assets that are derecognized in their entirety, but where Aegon has continuing
\n
involvement
\n
Aegon has no transferred financial assets with continuing involvement that are derecognized in their entirety as per year-end
\n
2022 and as per year-end 2021.
\n
46.3 Assets accepted
\n
Aegon receives collateral related to securities lending, reverse repurchase activities and derivative transactions. Non-cash
\n
collateral is not recognized in the statement of financial position. To the extent that cash is paid for reverse repurchase
\n
agreements, a receivable is recognized for the corresponding amount.
\n
The following tables present the fair value of the assets received in relation to securities lending and reverse
\n
repurchase activities:
\n
Securities lending
2022
\n
1)
\n
2021
\n
Carrying amount of transferred financial assets
2,190
3,083
\n
Fair value of cash collateral received
2,417
2,171
\n
Fair value of non-cash collateral received
74
1,102
\n
Net exposure
(301)
(190)
\n
Non-cash collateral that can be sold or repledged in the absence of default
-
1,004
\n
Non-cash collateral that has been sold or transferred
-
-
\n
1
\n
2022 excludes the disposal group, which is separately disclosed in note 51 Discontinued operations.
\n
Reverse repurchase agreements
2022
\n
1)
\n
2021
\n
Cash paid for reverse repurchase agreements
312
1,004
\n
Fair value of non-cash collateral received
335
1,025
\n
Net exposure
(23)
(21)
\n
Non-cash collateral that can be sold or repledged in the absence of default
-
695
\n
Non-cash collateral that has been sold or transferred
-
-
\n
1
\n
2022 excludes the disposal group, which is separately disclosed in note 51 Discontinued operations.
\n
The above items are conducted under terms that are usual and customary to standard securities lending activities, as well
\n
as requirements determined by exchanges where the bank acts as intermediary.
\n
In addition, Aegon can receive collateral related to derivative transactions that it enters into. The credit support agreement will
\n
normally dictate the threshold over which collateral needs to be pledged by Aegon or its counterparty. Transactions requiring
\n
Aegon or its counterparty to post collateral are typically the result of over-the-counter derivative trades, comprised mostly
\n
of interest rate swaps, currency swaps and credit swaps. Refer to the credit risk section in note 4 Financial risks for details
\n
on collateral received for derivative transactions.
\n
46.4 Assets pledged
\n
Aegon pledges assets that are on its statement of financial position in securities borrowing transactions, in repurchase
\n
transactions, in derivative transactions and against long-term borrowings. In addition, in order to trade derivatives on the various
\n
exchanges, Aegon posts margin as collateral.
\n
These transactions are conducted under terms that are usual and customary to standard long-term borrowing, derivative and
\n
securities borrowing activities, as well as requirements determined by exchanges where the bank acts as intermediary.
\n
Non-cash financial assets that are borrowed or purchased under agreement to resell are not recognized in the statement
\n
of financial position.
\n
To the extent that cash collateral is paid, a receivable is recognized for the corresponding amount. If other non-cash financial
\n
assets are given as collateral, these are not derecognized.
\n
|
Aegon Integrated Annual Report
2022
288
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The following tables present the carrying amount of collateral pledged and the corresponding amounts.
\n
Assets pledged for general account and contingent liabilities
2022
\n
1)
\n
2021
\n
General account (contingent) liabilities
3,520
3,410
\n
Collateral pledged
5,745
4,594
\n
Net exposure
(2,225)
(1,183)
\n
Non-cash collateral that can be sold or repledged by the counterparty
-
-
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
Assets pledged for repurchase agreements
2022
\n
1)
\n
2021
\n
Cash received on repurchase agreements
107
821
\n
Collateral pledged (transferred financial assets)
99
764
\n
Net exposure
8
57
\n
1
\n
2022 excludes the assets of the disposal group, which are separately disclosed in note 51 Discontinued operations.
\n
In order to trade derivatives on the various exchanges, Aegon posts margin as collateral. The amount of collateral pledged for
\nderivative transactions was EUR 4.7 billion (2021: EUR 2.3 billion). ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCollateralExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f39800": {
"value": "47 Offsetting, enforceable master netting arrangements and similar agreements
The following table only includes financial positions for which there is a recognized corresponding position that could
\n
be offset under a legally enforceable master netting arrangement or similar agreement. Aegon also enters into collateralized
\n
(reverse) repo or security lending and borrowing transaction, for which the collateral is not recognized on the balance
\n
sheet. For further information on the financial positions resulting from such transactions please refer to note 46. The table
\n
provides details relating to the effect, or potential effect, of netting arrangements, including rights to set-off, associated with
\n
the entity's recognized financial assets and recognized financial liabilities.
\n
Financial assets subject to
\n
offsetting, enforceable master
\n
netting arrangements and similar
\n
agreements
\n
Gross
\n
amounts of
\n
recognized
\n
financial
\n
assets
\n
Gross amounts of
\n
recognized
\n
financial liabilities
\n
set off in the
\n
statement of
\n
financial position
\n
Net amounts of
\n
financial assets
\n
presented in the
\n
statement of
\n
financial position
\n
Related amounts not set off in
\n
the statements of financial
\n
position
\n
Net amount
\n
Financial
\n
instruments
\n
Cash collateral
\n
received
\n
(excluding
\n
surplus
\n
collateral)
\n
2022
\n
Derivatives
2,733
-
2,733
2,589
111
34
\n
At December 31
2,733
-
2,733
2,589
111
34
\n
2021
\n
Derivatives
8,811
-
8,811
6,045
2,519
247
\n
At December 31
8,811
-
8,811
6,045
2,519
247
\n
Financial liabilities subject to
\n
offsetting, enforceable master
\n
netting arrangements and similar
\n
agreements
\n
Gross
\n
amounts of
\n
recognized
\n
financial
\n
liabilities
\n
Gross amounts of
\n
recognized
\n
financial assets
\n
set off in the
\n
statement of
\n
financial position
\n
Net amounts of
\n
financial
\n
liabilities
\n
presented in the
\n
statement of
\n
financial
\n
position
\n
Related amounts not set off in
\n
the statements of financial
\n
position
\n
Net amount
\n
Financial
\n
instruments
\n
Cash collateral
\n
pledged
\n
(excluding
\n
surplus
\n
collateral)
\n
2022
\n
Derivatives
5,115
-
5,115
3,359
1,668
89
\n
At December 31
5,115
-
5,115
3,359
1,668
89
\n
2021
\n
Derivatives
7,043
-
7,043
6,768
224
52
\n
At December 31
7,043
-
7,043
6,768
224
52
\n
The decrease in derivative assets and liabilities in 2022 is mainly the result of the classification of Aegon the Netherlands
\n
as held for sale and discontinued operations, refer to note 51 Discontinued operations.
\n
Aegon Integrated Annual Report
2022 |
289
\n
Notes to the consolidated financial statements
Note 47
\n
\n
Financial assets and liabilities are offset in the statement of financial position when the Group has a legally enforceable right
\n
to offset and has the intention to settle the asset and liability on a net basis, or to realize the asset and settle the liability
\n
simultaneously. As shown in the second column there are no financial assets and liabilities offset in 2022 and 2021.
\n
The line Derivatives includes derivatives for general account and for account of policyholder.
\n
Aegon mitigates credit risk in derivative contracts by entering into collateral agreements, where practical, and in ISDA master
\n
netting agreements for each of the Aegon\u2019s legal entities to facilitate Aegon\u2019s right to offset credit risk exposure. The credit
\n
support agreement will normally dictate the threshold over which collateral needs to be pledged by Aegon or its counterparty.
\n
Transactions requiring Aegon or its counterparty to post collateral are typically the result of over-the-counter derivative trades,
\n
comprised mostly of interest rate swaps, currency swaps and credit swaps. These transactions are conducted under terms
\n
that are usual and customary to standard long-term borrowing, derivative, securities lending and securities borrowing activities,
\nas well as requirements determined by exchanges where the bank acts as intermediary. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfOffsettingOfFinancialAssetsAndFinancialLiabilitiesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f39969": {
"value": "48 Companies and businesses acquired and divested
Companies and businesses acquired
\n
2022
\n
On February 28, 2022, Transamerica acquired 100% equity interest in TAG Resources, LLC (TAG). TAG aggregates small
\n
to mid-market employer retirement plans (pooled-plan space) and provides administration and fiduciary oversight services
\n
as a third-party administrator for such plans, including providing plan design, consulting, and compliance to plan sponsors.
\n
The total consideration transferred amounted to EUR 33 million. Based on the purchase price allocation, the fair value of net
\n
assets amounted to EUR 17 million, resulting in goodwill of EUR 16 million. The acquisition does not have a material impact
\n
on Aegon\u2019s capital position or results.
\n
2021
\n
There were no significant acquisitions in 2021.
\n
2020
\n
On July 30, 2020, Aegon announced the completion of the expansion of its partnership with Santander in Spain. This follows
\n
the agreement signed on July 3, 2018 between Aegon and Banco Santander to expand their life and non-life insurance
\n
partnership, following Banco Santander\u2019s acquisition of Banco Popular. Aegon\u2019s insurance joint ventures with Banco Santander
\n
in Spain completed the acquisition of the in force term life policies previously sold through Banco Popular branches as well
\n
as the right to write new term life and selected lines of non-life policies through the former Banco Popular branches now owned
\n
by Banco Santander. The transaction was closed following satisfaction of all closing conditions, including the termination
\n
of existing alliances of Banco Popular. For its 51% stake in the expansion of the joint venture with Banco Santander, Aegon paid
\n
an upfront amount of EUR 187 million \u2013 lower than the EUR 215 million communicated in July 2018 mainly due to the results
\n
of the in-force portfolio which accrued to Santander till closing. Furthermore, the previously agreed contingent payment of up
\n
to EUR 75 million is due in 2024, subject to the performance of the partnership.
\n
Companies and businesses divested
\n
2022
\n
On October 27, 2022, Aegon announced it has reached an agreement with a.s.r. to combine its Dutch pension, life and non-life
\n
insurance, banking, and mortgage origination activities with a.s.r. Aegon will receive EUR 2.2 billion in gross cash proceeds, and
\n
a 29.99% strategic stake in a.s.r., with associated governance rights. On January 17, 2023, Aegon N.V.'s Extraordinary Meeting
\n
of Shareholders (EGM) has approved the decision. Furthermore, the works council of Aegon has rendered a positive advice
\n
in relation to the proposed transaction. The transaction is subject to customary conditions, including regulatory and antitrust
\n
approvals, and is expected to close in the second half of 2023. As at December 31, 2022, the assets and liabilities of Aegon
\n
the Netherlands are classified as held for sale and discontinued operations, please refer to note 51 Discontinued operations
\n
for more information.
\n
On October 14, 2022, Aegon completed the divestment of its 50% stake in the Spanish insurance joint venture with Liberbank
\n
to Unicaja Banco. As announced on May 23, 2022, the sale follows the change of control in Liberbank after its merger with
\n
Unicaja Banco in 2021. The net proceeds of the transaction amount to EUR 176 million. Aegon Spain intends to upstream
\n
the net proceeds to the Group. The book gain on the transaction is EUR 87 million and is recorded in Aegon\u2019s 2022 results.
\n
|
Aegon Integrated Annual Report
2022
290
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
On March 23, 2022, and on April 21, 2022, Aegon completed the divestment of its Hungarian and Turkish businesses
\n
to Vienna Insurance Group AG Wiener Versicherung Gruppe (VIG). At December 31, 2021, the total assets of the Hungarian
\n
and Turkish businesses were EUR 1.4 billion, mainly including investments, and the total liabilities were EUR 1.2 billion, mainly
\n
including insurance contracts. The gross proceeds of the transactions amount to EUR 700 million, of which EUR 96 million
\n
is cash on hand at the Hungarian and Turkish businesses and dividends. As a result of the transactions, the Group Solvency
\n
II ratio improved by approximately 7 percentage points. The book gain amounted to EUR 288 million, which includes a loss
\n
of EUR 177 million related to the recycling of the foreign currency translation reserve and revaluation reserve though
\n
the income statement. As a result of this transaction, IFRS equity has increased by EUR 465 million. The completion of this sale
\n
is part of the full closing of the sale of Aegon\u2019s insurance, pension, and asset management businesses in Central and Eastern
\n
Europe to VIG for EUR 830 million, as announced in November 2020. The sale of Aegon Poland and Aegon Romania is subject
\n
to regulatory approval and expected to close in the first half of 2023.
\n
2021
\n
On February 28, 2021, Aegon successfully completed the divestment of Stonebridge, a UK-based provider of accident
\n
insurance products to Global Premium Holdings group, part of Embignell group. Under the terms of the agreement, Aegon
\n
sold Stonebridge for a consideration of approximately GBP 60 million (EUR 65 million), consisting of the purchase price and
\n
dividends related to the transaction. This excludes a contingent consideration of up to GBP 10 million. The transaction had
\n
no material impact on Aegon's capital position and results.
\n
2020
\n
On January 29, 2020, Aegon completed the sale of its 50% stake in the variable annuity joint ventures in Japan. The sale was
\n
announced on May 17, 2019. The total cash proceeds are EUR 153 million (JPY 18.75 billion). The divestment had no material
\n
impact on Aegon's capital position and led to an IFRS gain of EUR 53 million. This divestment had no material impact
\non operating result going forward.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfBusinessCombinationsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f40051": {
"value": "49 Group companies
Subsidiaries
\n
The principal subsidiaries of the parent company Aegon N.V. are listed by geographical segment. All are wholly owned, directly
\n
or indirectly, unless stated otherwise, and are involved in insurance or reinsurance business, pensions, asset management
\n
or services related to these activities. The voting power in these subsidiaries held by Aegon is equal to the shareholdings.
\n
Americas
\n
\u2022
\n
Transamerica Corporation, Wilmington, Delaware (United States)
\n
\u2022
\n
Transamerica Casualty Insurance Company, Cedar Rapids, Iowa (United States)
\n
\u2022
\n
Transamerica Financial Life Insurance Company, Harrison, New York (United States)
\n
\u2022
\n
Transamerica Life Insurance Company, Cedar Rapids, Iowa (United States)
\n
The Netherlands (classified as disposal group)
\n
\u2022
\n
Aegon Bank N.V., The Hague
\n
\u2022
\n
Aegon Cappital B.V., Groningen
\n
\u2022
\n
Aegon Hypotheken B.V., The Hague
\n
\u2022
\n
Aegon Levensverzekering N.V., The Hague
\n
\u2022
\n
Aegon Schadeverzekering N.V., The Hague
\n
\u2022
\n
Aegon Spaarkas N.V., The Hague
\n
\u2022
\n
Nedasco B.V., Amersfoort
\n
\u2022
\n
Robidus Groep B.V., Zaandam
\n
\u2022
\n
TKP Pensioen B.V., Groningen
\n
United Kingdom
\n
\u2022
\n
Aegon Investment Solutions Ltd., Edinburgh
\n
\u2022
\n
Aegon Investments Ltd., London
\n
\u2022
\n
Scottish Equitable plc, Edinburgh
\n
\u2022
\n
Cofunds Limited, London
\n
Aegon Integrated Annual Report
2022 |
291
\n
Notes to the consolidated financial statements
Note 49
International
\n
\u2022
\n
Aegon Towarzystwo Ubezpiecze\u0144 na \u017bycie Sp\u00f3\u0142ka Akcyjna, Warsaw (Aegon Poland Life)
\n
\u2022
\n
Aegon Powszechne Towarzystwo Emerytaine Sp\u00f3lka Akcyjna, Warsaw (Aegon Poland Pension Fund Management Co.)
\n
\u2022
\n
Aegon Pensii Societate de Administrare a Fondurilor de Pensii Private S.A., Cluj (Aegon Romania Pension Administrator Co.)
\n
\u2022
\n
Aegon Espa\u00f1a S.A.U. de Seguros y Reaseguros, Madrid (Spain)
\n
\u2022
\n
Transamerica Life (Bermuda) Ltd., Hamilton (Bermuda)
\n
Asset Management
\n
\u2022
\n
Aegon USA Investment Management, LLC, Cedar Rapids (United States)
\n
\u2022
\n
Aegon USA Realty Advisors, LLC, Des Moines (United States)
\n
\u2022
\n
Aegon Asset Management Holding B.V., The Hague (The Netherlands)
\n
\u2022
\n
Aegon Investment Management B.V, The Hague (The Netherlands)
\n
\u2022
\n
Aegon Asset Management UK plc, Edinburgh (United Kingdom)
\n
The legally required list of participations as set forth in articles 379 and 414 of Book 2 of the Dutch Civil Code has been
\n
registered with the Trade Register in The Hague. Aegon N.V. has issued a statement of liability as meant in article 403 of Book
\n
2 of the Dutch Civil Code for its subsidiary company Aegon Derivatives N.V.
\n
Joint ventures
\n
The principal joint ventures are listed by geographical segment. The voting powers in these joint ventures is equal
\n
to the shareholdings, unless stated otherwise.
\n
The Netherlands (classified as disposal group)
\n
\u2022
\n
AMVEST Vastgoed, Utrecht (50%)
\n
\u2022
\n
AMVEST Living & Care Fund, Utrecht (50%)
\n
\u2022
\n
AMVEST Development Fund, Amsterdam (50%)
\n
International
\n
\u2022
\n
Santander Generales Seguros y Reaseguros, S.A., Madrid (Spain) (51%)
\n
\u2022
\n
Santander Vida Seguros y Reaseguros, S.A., Madrid (Spain) (51%)
\n
\u2022
\n
Aegon Santander Portugal N\u00e3o Vida \u2013 Companhia de Seguros S.A., Lisbon (Portugal) (51%)
\n
\u2022
\n
Aegon Santander Portugal Vida \u2013 Companhia de Seguros de Vida S.A., Lisbon (Portugal) (51%)
\n
\u2022
\n
Aegon THTF Life Insurance Co., Ltd., Shanghai (China) (50%)
\n
\u2022
\n
Mongeral Aegon, Seguros e Previdencia S.A., Rio de Janeiro (Brazil) (54.9%, voting rights 50%)
\n
\u2022
\n
Sicoob Seguradode de Vida e Previd\u00eancia S.A., Rio de Janeiro (Brazil) (28%)
\n
Asset Management
\n
\u2022
\n
Aegon Industrial Fund Management Co., Ltd, Shanghai (China) (49%)
\n
Refer to note 25 Investments in joint ventures and associates for further details on these investments.
\n
Investments in associates
\n
The principal investments in associates are listed by geographical segment. The voting powers in these associates is equal
\n
to the shareholdings, unless stated otherwise.
\n
The Netherlands (classified as disposal group)
\n
\u2022
\n
AMVEST Residential Core Fund, Amsterdam (29%)
\n
\u2022
\n
N.V. Levensverzekeringmaatschappij 'De Hoop', The Hague (33%)
\n
\u2022
\n
OB Capital Cooperatief U.A., Amsterdam (95%)
\n
International
\n
\u2022
\n
Aegon Life Insurance Co. ltd (India) (49%; Aegon does not have joint control of the company)
\n
Asset Management
\n
\u2022
\n
La Banque Postale Asset Management, Paris (France) (25%)
\n
|
Aegon Integrated Annual Report
2022
292
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Refer to note 25 Investments in joint ventures and associates for further details on these investments.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfCompositionOfGroupExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f40054": {
"value": "Subsidiaries
The principal subsidiaries of the parent company Aegon N.V. are listed by geographical segment. All are wholly owned, directly
\n
or indirectly, unless stated otherwise, and are involved in insurance or reinsurance business, pensions, asset management
\n
or services related to these activities. The voting power in these subsidiaries held by Aegon is equal to the shareholdings.
\n
Americas
\n
\u2022
\n
Transamerica Corporation, Wilmington, Delaware (United States)
\n
\u2022
\n
Transamerica Casualty Insurance Company, Cedar Rapids, Iowa (United States)
\n
\u2022
\n
Transamerica Financial Life Insurance Company, Harrison, New York (United States)
\n
\u2022
\n
Transamerica Life Insurance Company, Cedar Rapids, Iowa (United States)
\n
The Netherlands (classified as disposal group)
\n
\u2022
\n
Aegon Bank N.V., The Hague
\n
\u2022
\n
Aegon Cappital B.V., Groningen
\n
\u2022
\n
Aegon Hypotheken B.V., The Hague
\n
\u2022
\n
Aegon Levensverzekering N.V., The Hague
\n
\u2022
\n
Aegon Schadeverzekering N.V., The Hague
\n
\u2022
\n
Aegon Spaarkas N.V., The Hague
\n
\u2022
\n
Nedasco B.V., Amersfoort
\n
\u2022
\n
Robidus Groep B.V., Zaandam
\n
\u2022
\n
TKP Pensioen B.V., Groningen
\n
United Kingdom
\n
\u2022
\n
Aegon Investment Solutions Ltd., Edinburgh
\n
\u2022
\n
Aegon Investments Ltd., London
\n
\u2022
\n
Scottish Equitable plc, Edinburgh
\n
\u2022
\n
Cofunds Limited, London
\n
Aegon Integrated Annual Report
2022 |
291
\n
Notes to the consolidated financial statements
Note 49
International
\n
\u2022
\n
Aegon Towarzystwo Ubezpiecze\u0144 na \u017bycie Sp\u00f3\u0142ka Akcyjna, Warsaw (Aegon Poland Life)
\n
\u2022
\n
Aegon Powszechne Towarzystwo Emerytaine Sp\u00f3lka Akcyjna, Warsaw (Aegon Poland Pension Fund Management Co.)
\n
\u2022
\n
Aegon Pensii Societate de Administrare a Fondurilor de Pensii Private S.A., Cluj (Aegon Romania Pension Administrator Co.)
\n
\u2022
\n
Aegon Espa\u00f1a S.A.U. de Seguros y Reaseguros, Madrid (Spain)
\n
\u2022
\n
Transamerica Life (Bermuda) Ltd., Hamilton (Bermuda)
\n
Asset Management
\n
\u2022
\n
Aegon USA Investment Management, LLC, Cedar Rapids (United States)
\n
\u2022
\n
Aegon USA Realty Advisors, LLC, Des Moines (United States)
\n
\u2022
\n
Aegon Asset Management Holding B.V., The Hague (The Netherlands)
\n
\u2022
\n
Aegon Investment Management B.V, The Hague (The Netherlands)
\n
\u2022
\n
Aegon Asset Management UK plc, Edinburgh (United Kingdom)
\n
The legally required list of participations as set forth in articles 379 and 414 of Book 2 of the Dutch Civil Code has been
\n
registered with the Trade Register in The Hague. Aegon N.V. has issued a statement of liability as meant in article 403 of Book
\n2 of the Dutch Civil Code for its subsidiary company Aegon Derivatives N.V. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfSignificantInvestmentsInSubsidiariesExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f40212": {
"value": "50 Related party transactions
In the normal course of business, Aegon enters into various transactions with related parties. Parties are considered
\n
to be related if one party has the ability to control or exercise significant influence over the other party in making financial
\n
or operating decisions. Related parties of Aegon include, amongst others, its associates, joint ventures, key management
\n
personnel and the defined benefit and contribution plans. Transactions between related parties have taken place on an
\n
arm\u2019s length basis. Transactions between Aegon and its subsidiaries that are deemed related parties have been eliminated
\n
in the consolidation and are not disclosed in the notes.
\n
Related party transactions include, among others, transactions between Aegon N.V. and Vereniging Aegon.
\n
On December 15, 2022, Aegon repurchased 43,817,400 common shares B from Vereniging Aegon for the amount of EUR
\n
5,113,578.21 based on 1/40
\n
th
\n
of the Value Weight Average Price of the common shares of the five trading days preceding this
\n
transaction. The repurchase of common shares B was executed to bring the aggregate holding of voting shares by Vereniging
\n
Aegon in Aegon more in line with its special cause voting rights of 32.6% following the completion of the Share Buy Back
\n
Programs, initiated by Aegon in April 2022 following the completion of the sale of the Hungarian business and initiated in July
\n
and October 2022 to neutralize the dilutive effect of the distribution of the final dividend 2021 and the interim dividend
\n
2022 in stock.
\n
On November 21, 2022, the members of Vereniging Aegon voted to instruct the board of Vereniging Aegon, subject
\n
to the board\u2019s fiduciary duties, to vote all of Vereniging Aegon\u2019s common shares and common shares B (based on one vote per
\n
40 common shares B) at Aegon N.V.\u2019s next extraordinary general meeting in favor of Aegon N.V. selling its business operations
\n
in the Netherlands to ASR Nederland N.V. for cash consideration and a 29.99% share interest in ASR Nederland N.V (the
\n
\u201cTransaction\u201d). Following such vote of the members of Vereniging Aegon, the board of Vereniging Aegon is obligated, pursuant
\n
to the terms of a voting undertaking agreement, dated October 27, 2022, between Aegon N.V. and Vereniging Aegon, and
\n
subject to the board\u2019s fiduciary duties, to vote all of such shares in favor of the Transaction.
\n
On December 15, 2021, Aegon repurchased 22,643,360 common shares B from Vereniging Aegon for the amount of EUR
\n
2,285,621 based on 1/40
\n
th
\n
of the Value Weight Average Price of the common shares of the five trading days preceding this
\n
transaction. The repurchase of common shares B was executed to align the aggregate holding of voting shares by Vereniging
\n
Aegon in Aegon with its special cause voting rights of 32.6%.
\n
On June 3, 2021, Vereniging Aegon exercised its options rights to purchase in aggregate 1,983,360 common shares B at fair
\n
value of a common share B (being 1/40
\n
th
\n
of the market value of a common share in the capital of the Company at the time
\n
of issuance) to mitigate dilution caused by the issuance of shares on June 3, 2021, in connection with the Long Term Incentive
\n
Plans for senior management.
\n
On December 11, 2020 Aegon N.V. repurchased 2,955,600 common shares B from Vereniging Aegon for the amount of EUR
\n
228,911.22 based on 1/40
\n
th
\n
of the Value Weighted Average Price of the common shares of the five trading days preceding
\n
this transaction. The repurchase of common shares B was executed to align the aggregate shareholding of Vereniging Aegon
\n
in Aegon N.V. with its special cause voting rights of 32.6%.
\n
On May 15, 2020, Vereniging Aegon exercised its options rights to purchase in aggregate 2,154,000 common shares B at fair
\n
value of a common share B (being 1/40
\n
th
\n
of the market value of a common share in the capital of the Company at the time
\n
of issuance) to mitigate dilution caused the issuance of shares on May 15, 2020, in connection with the Long Term Incentive
\n
Plans for senior management.
\n
Aegon Integrated Annual Report
2022 |
293
\n
Notes to the consolidated financial statements
Note 50
Remuneration of members of the Supervisory Board, Executive Board and Key Management
\n
The following table includes the expenses for remuneration, with amounts reflective of time spent on the Board.
\n
Remuneration expenses
\n
2022
2021
2020
\n
Supervisory Board
\n
1)
\n
1.3
0.9
0.8
\n
Executive Board
5.2
4.9
5.9
\n
Key Management
27.7
27.5
24.8
\n
In fixed compensation
16.0
16.8
14.2
\n
In cash based variable compensation
4.0
3.6
3.3
\n
In share based variable compensation
3.5
3.2
2.9
\n
In pension contributions
3.0
2.8
3.2
\n
In other benefits
1.2
1.1
1.2
\n
1
\n
Based on a Decree of the Dutch State Secretary of Finance which came into force as from May 7, 2021, the Supervisory Board fees were not subject to Dutch
\n
VAT anymore, retroactively as from June 13, 2019. Therefore, Aegon has not paid Dutch VAT anymore on the fees of the Supervisory Board Members as from Q2
\n
2021. Additionally, Aegon reclaimed VAT for the period Q1 2020 - Q1 2021, except for its Supervisory Board members based in the Netherlands for
\n
practical reasons.
\n
Fixed compensation of Key Management included severance payments in 2021 of EUR 2.2 million. Key Management consisted
\n
of all members of the Supervisory Board, Executive Board and Management Board (see the chapter Composition of the Boards
\n
for more details).
\n
Additional information on the remuneration and share-based compensation of members of the Executive Board and
\n
the remuneration of the Supervisory Board is disclosed in the Remuneration report.
\n
Interests in Aegon N.V. held by active members of the Executive Board
\n
Shares held in Aegon at December 31, 2022 by Mr. Friese amount to 72,081 (2021: 56,554) and by Mr. Rider to 120,962 (2021:
\n
103,699). The shares held in Aegon mentioned above do not exceed 1% of total outstanding share capital at the reporting date.
\n
At the reporting date no loans with Aegon or outstanding balances such as guarantees or advanced payments exist for either
\n
Mr. Friese or Mr. Rider.
\n
Common shares held by Supervisory Board members
\n
Shares held in Aegon at December 31
2022
2021
\n
Ben J. Noteboom
23,500
23,500
\n
Dona D. Young
13,260
13,260
\n
Total
36,760
36,760
\n
Shares held by Supervisory Board members are only disclosed for the period for which they have been part of the Supervisory
\n
Board. At the reporting date no loans with Aegon or outstanding balances such as guarantees or advanced payments exist for
\nthe members of the Supervisory Board. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfRelatedPartyExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f40280": {
"value": "Remuneration of members of the Supervisory Board, Executive Board and Key Management
The following table includes the expenses for remuneration, with amounts reflective of time spent on the Board.
\n
Remuneration expenses
\n
2022
2021
2020
\n
Supervisory Board
\n
1)
\n
1.3
0.9
0.8
\n
Executive Board
5.2
4.9
5.9
\n
Key Management
27.7
27.5
24.8
\n
In fixed compensation
16.0
16.8
14.2
\n
In cash based variable compensation
4.0
3.6
3.3
\n
In share based variable compensation
3.5
3.2
2.9
\n
In pension contributions
3.0
2.8
3.2
\n
In other benefits
1.2
1.1
1.2
\n
1
\n
Based on a Decree of the Dutch State Secretary of Finance which came into force as from May 7, 2021, the Supervisory Board fees were not subject to Dutch
\n
VAT anymore, retroactively as from June 13, 2019. Therefore, Aegon has not paid Dutch VAT anymore on the fees of the Supervisory Board Members as from Q2
\n
2021. Additionally, Aegon reclaimed VAT for the period Q1 2020 - Q1 2021, except for its Supervisory Board members based in the Netherlands for
\n
practical reasons.
\n
Fixed compensation of Key Management included severance payments in 2021 of EUR 2.2 million. Key Management consisted
\n
of all members of the Supervisory Board, Executive Board and Management Board (see the chapter Composition of the Boards
\n
for more details).
\n
Additional information on the remuneration and share-based compensation of members of the Executive Board and
\nthe remuneration of the Supervisory Board is disclosed in the Remuneration report. ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfInformationAboutKeyManagementPersonnelExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f40354": {
"value": "51 Discontinued operations
On October 27, 2022, Aegon announced it has reached an agreement with a.s.r. to combine its Dutch pension, life and non-
\n
life insurance, banking, and mortgage origination activities with ASR Nederland N.V. ('a.s.r'). Aegon will receive EUR 2.2 billion
\n
in gross cash proceeds, and a 29.99% strategic stake in a.s.r., with associated governance rights. On January 17, 2023,
\n
the Extraordinary General Meeting of shareholders (\"EGM\") of Aegon N.V. has approved the proposed transaction. Furthermore,
\n
the works council of Aegon has rendered a positive advice in relation to the proposed transaction. The transaction is subject
\n
to customary conditions, including regulatory and antitrust approvals, and is expected to close in the second half of 2023.
\n
Per December 31, 2022 Aegon the Netherlands has been reported as held for sale and discontinued operations. This note
\n
includes the disclosures related to Aegon the Netherlands qualified as held for sale and discontinued operations.
\n
|
Aegon Integrated Annual Report
2022
294
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Income statement of discontinued operations
\n
Amounts in EUR millions
2022
2021
2020
\n
Discontinued operations
\n
Premium income
1,569
1,713
1,994
\n
Investment income
1,725
2,074
2,062
\n
Fee and commission income
346
331
283
\n
Other revenues
-
-
-
\n
Total revenues
3,640
4,118
4,339
\n
Income from reinsurance ceded
38
26
(100)
\n
Results from financial transactions
(10,713)
(867)
3,716
\n
Other income
23
27
6
\n
Total income
(7,011)
3,304
7,960
\n
Premiums paid to reinsurers
112
99
63
\n
Policyholder claims and benefits
(8,824)
1,755
6,140
\n
Profit sharing and rebates
4
7
-
\n
Commissions and expenses
739
698
730
\n
Impairment charges / (reversals)
(0)
(2)
107
\n
Interest charges and related fees
85
89
99
\n
Other charges
10
3
46
\n
Total charges
(7,874)
2,649
7,185
\n
Result from discontinued operations before share in profit / (loss) of joint
\n
ventures, associates and tax
862
655
775
\n
Share in profit / (loss) of joint ventures
37
33
19
\n
Share in profit / (loss) of associates
15
127
80
\n
Result before tax from discontinued operations
914
815
874
\n
Income tax (expense) / benefit
(618)
(183)
(197)
\n
Result after tax from discontinued operations
296
632
677
\n
Impairment loss on remeasurement of the disposal group
(1,775)
-
-
\n
Net result from discontinued operations after remeasurement
(1,479)
632
677
\n
Statement of comprehensive income of discontinued operations
\n
Amounts in EUR millions
2022
2021
2020
\n
Net result from discontinued operations
(1,479)
632
677
\n
Items that will not be reclassified to profit or loss:
\n
Changes in revaluation reserve real estate held for own use
-
1
-
\n
Remeasurements of defined benefit plans
948
156
(285)
\n
Income tax relating to items that will not be reclassified
(245)
(24)
126
\n
Items that may be reclassified subsequently to profit or loss:
\n
Gains / (losses) on revaluation of available-for-sale investments
(2,110)
155
21
\n
(Gains) / losses transferred to income statement on disposal and impairment
\n
of available-for-sale investments
185
(114)
(13)
\n
Equity movements of joint ventures
-
-
-
\n
Equity movements of associates
2
(1)
2
\n
Income tax relating to items that may be reclassified
497
(18)
(27)
\n
Other
-
1
-
\n
Total other comprehensive income / (loss) from discontinued operations
(723)
156
(176)
\n
Total comprehensive income / (loss) from discontinued operations
(2,202)
788
501
\n
Aegon Integrated Annual Report
2022 |
295
\n
Notes to the consolidated financial statements
Note 51
Impairment loss
\n
Upon classification as held for sale, the carrying amount of Aegon the Netherlands is compared to the fair value less cost
\n
to sell, which is estimated by reference to the fair value of the consideration to which Aegon N.V. is entitled under the terms
\n
and conditions of the sales agreement. The fair value less cost to sell is lower than the carrying value and this impairment
\n
loss is recognized through a reduction of the carrying value of Aegon the Netherlands. The table below shows the calculated
\n
impairment loss.
\n
The impairment loss is recalculated at each reporting date until closing date of the transaction, as both the fair value
\n
of the consideration to be received and the carrying value of Aegon the Netherlands are subject to change. The consideration
\n
to be received includes a 29.99% stake in a.s.r. and is therefore contingent on the development of the a.s.r. share price.
\n
The carrying amount of Aegon the Netherlands will continue to be updated for assets and liabilities which are not included
\n
in the measurement scope of IFRS 5. Furthermore, Aegon the Netherlands\u2019s carrying amount will be impacted by the adoption
\n
of IFRS 9 \u201cFinancial instruments\u201d and IFRS 17 \u201cInsurance contracts\u201d per January 1, 2023. As a consequence, the cumulative
\n
impairment loss that is recognized at the final disposal date will differ from the estimate calculated below.
\n
The impairment loss takes into account contingent payables and receivables between Aegon N.V. and Aegon the Netherlands
\n
that will be recognized prior to the closing date. These are included in the carrying amount of Aegon the Netherlands.
\n
Amounts in EUR millions
2022
\n
Net cash receivable after costs to sell
2,175
\n
Fair value of 29.99% share in a.s.r.
\n
1)
\n
2,700
\n
Fair value less costs to sell
4,875
\n
Carrying amount of Aegon the Netherlands
\n
2)
\n
6,960
\n
Fair value less costs to sell minus carrying amount
(2,085)
\n
Assets in scope for impairment per December 31, 2022
1,775
\n
Impairment loss recognized in 2022
1,775
\n
Impairment to be recognized upon the completion of the sale
310
\n
1
\n
Based on the closing price of a.s.r.\u2019s shares on December 31, 2022
\n
2
\n
The carrying amount of Aegon the Netherlands includes contingent payables and receivables between Aegon NV and Aegon NL that will be recognized prior to
\n
the closing date
\n
Cashflow from discontinued operations
\n
The table below shows details on cashflow from discontinued operations.
\n
Amounts in EUR millions
2022
2021
2020
\n
Net cash inflow (outflow) from operating activities
4,646
(167)
(5,614)
\n
Net cash inflow (outflow) from investing activities
(4)
31
(23)
\n
Net cash inflow (outflow) from financing activities
(3,275)
(1,835)
1,700
\n
Net cash inflow (outflow) from discontinued operations
1,367
(1,972)
(3,937)
\n
|
Aegon Integrated Annual Report
2022
296
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Held for sale assets and liabilities
\n
The below table shows the assets held for sale and liabilities held for sale as at December 31, 2022.
\n
Amounts in EUR millions
2022
\n
Assets
\n
Cash and cash equivalents
5,085
\n
Investments
54,646
\n
Investments for account of policyholders
19,097
\n
Derivatives
8,394
\n
Investments in joint ventures
-
\n
Investments in associates
-
\n
Reinsurance assets
79
\n
Defined benefit assets
-
\n
Deferred tax assets
-
\n
Deferred expenses
212
\n
Other assets and receivables
1,388
\n
Intangible assets
-
\n
Total assets held for sale
88,902
\n
Liabilities
\n
Insurance contracts
31,480
\n
Insurance contracts for account of policyholders
19,577
\n
Investment contracts
12,179
\n
Investment contracts for account of policyholders
1,396
\n
Derivatives
9,239
\n
Borrowings
5,227
\n
Provisions
52
\n
Defined benefit liabilities
2,462
\n
Deferred gains
-
\n
Deferred tax liabilities
626
\n
Other liabilities
1,665
\n
Accruals
218
\n
Total liabilities held for sale
84,119
\n
Shareholders' equity
\n
Included in Group equity is cumulative other comprehensive income of EUR -1,286 million relating to assets and liabilities held
\n
for sale as at December 31, 2022.
\n
Assets and liabilities held for sale
\n
The details as per December 31, 2022, on assets and liabilities held for sale are disclosed below. Comparatives
\n
related to assets and liabilities held for sale in the consolidated statement of financial position of Aegon N.V. are not re-
\n
presented, in line with IFRS 5 requirements. The comparative amounts and additional qualitative information are included
\n
in the corresponding notes of this Integrated Annual Report.
\n
Temporary exemption from applying IFRS 9 Financial Instruments
\n
By qualifying for and electing the temporary exemption for IFRS 9, the IFRS 4 amendment requires certain additional
\n
disclosures; specifically, Aegon the Netherlands is required to disclose information to enable users of financial statements
\n
to compare insurers applying the temporary exemption with entities applying IFRS 9. This information is presented below:
\n
Aegon Integrated Annual Report
2022 |
297
\n
Notes to the consolidated financial statements
Note 51
Fair value changes
\n
The table below presents an overview of the fair value of the classes of financial assets as of December 31, 2022, as well as
\n
the change in fair value during the reporting period. The asset classes are divided into two categories:
\n
\u2022
\n
SPPI: assets of which cash flows represent solely payments of principal and interest (SPPI) on an outstanding principal
\n
amount, excluding any financial assets that meet the definition of held for trading in IFRS 9, or that are managed and whose
\n
performance is evaluated on a fair value basis; and
\n
\u2022
\n
Other: all financial assets other than those specified in SPPI:
\n
\u2022
with contractual terms that do not give rise on specified dates to cash flows that are solely payments of principal and
\n
interest on the principal amount outstanding;
\n
\u2022
that meet the definition of held for trading in IFRS 9; or
\n
\u2022
that are managed and whose performance are evaluated on a fair value basis.
\n
Financial assets at fair value
\n
2022
\n
Fair value at the end of the
\n
reporting period
\n
Change in fair value during
\n
the reporting period
\n
Shares
\n
1)
\n
SPPI
-
-
\n
Other
119
(7)
\n
Debt securities
SPPI
14,106
(4,098)
\n
Other
1,413
(166)
\n
Mortgage loans
SPPI
28,477
(5,163)
\n
Other
-
-
\n
Private loans
SPPI
3,931
(1,081)
\n
Other
38
-
\n
Other financial assets
SPPI
-
-
\n
Other
1,368
145
\n
At December 31
49,452
(10,370)
\n
1
\n
The SPPI-compliant shares include preferred equity instruments.
\n
Cash and cash equivalents, deposits with financial institutions, and receivables all pass the SPPI test and are held at amortized
\n
cost, whereby the amortized cost is assumed to approximate fair value due to the short-term nature of the assets.
\n
Credit Risk
\n
The table below details the credit risk rating grades for Aegon the Netherlands, as of December 31, 2022, for financial assets
\n
with cash flows that are SPPI, excluding any financial assets that meet the definition of held for trading in IFRS 9, or that are
\n
managed and whose performance is evaluated on a fair value basis. The table shows the carrying value of those financial
\n
assets applying IAS 39 (in the case of financial assets measured at amortized cost, before adjusting for any impairment
\n
allowances).
\n
SPPI compliant financial assets at
\n
carrying value
AAA
AA
A
BBB
BB
B
\n
CCC or
\n
lower
\n
Not
\n
Rated
Total
\n
2022
\n
Debt securities \u2013 Carried at fair value
8,521
2,545
1,387
1,628
26
-
-
-
14,106
\n
Mortgage loans\u2013 Carried at amortized
\n
cost
-
-
-
-
-
-
-
30,580
30,580
\n
Private loans \u2013 Carried at amortized
\n
cost
2,622
253
195
1,025
3
-
-
349
4,447
\n
At December 31
11,143
2,797
1,582
2,653
29
-
-
30,929
49,133
\n
For assets that do not qualify for the low credit risk exemption (assets rated below BBB or not rated) and of which cash flows
\n
represent SPPI, excluding any financial assets that meet the definition of held for trading in IFRS 9, or that are managed and
\n
whose performance is evaluated on a fair value basis, the table below provides the credit risk exposure from the financial
\n
assets held by Aegon the Netherlands. Mortgage loans with no low credit risk are defined as being more than 90 days past
\n
due, in line with regulatory guidelines. The financial assets are categorized by asset class with a carrying amount and fair value
\n
measured in accordance with IAS 39 measurement requirements.
\n
|
Aegon Integrated Annual Report
2022
298
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
SPPI compliant financial assets rated BB or below
\n
2022
\n
Carrying amount
Fair value
\n
Debt securities \u2013 Carried at fair value
26
26
\n
Mortgage loans \u2013 Carried at amortized cost
30,580
28,477
\n
Private loans \u2013 Carried at amortized cost
352
337
\n
At December 31
30,958
28,840
\n
Financial risks
\n
Credit risk
\n
The table that follows shows Aegon the Netherlands' maximum exposure to credit risk from investments in general account
\n
financial assets, as well as general account derivatives and reinsurance assets, collateral held and net exposure.
\n
2022
\n
Maximum
\n
exposure
\n
to credit
\n
risk
Cash
Securities
\n
Letters of
\n
credit /
\n
guaran-
\n
tees
\n
Real
\n
estate
\n
property
\n
Master
\n
netting
\n
agree-
\n
ments
Other
\n
Total
\n
collateral
\n
Surplus
\n
collateral (or
\n
overcollateral-
\n
ization)
\n
Net
\n
exposure
\n
Debt securities
\n
- carried at fair
\n
value
15,519
-
-
-
-
-
-
-
-
15,519
\n
Mortgage loans
\n
- carried at
\n
amortized cost
30,580
2,590
-
22
60,991
-
-
63,603
32,263
(760)
\n
Private loans -
\n
carried at
\n
amortized cost
4,484
-
-
-
-
-
-
-
-
4,484
\n
Other loans -
\n
carried at
\n
amortized cost
3
-
-
-
-
-
-
-
-
3
\n
Other financial
\n
assets - carried at
\n
fair value
76
-
-
-
-
-
-
-
-
76
\n
Derivatives
8,394
-
-
-
-
8,394
-
8,394
-
(0)
\n
Reinsurance assets
79
-
-
-
-
-
-
-
-
79
\n
At December 31
59,135
2,590
-
22
60,991
8,394
-
71,997
32,263
19,402
\n
Credit rating
\n
The ratings distribution of general account portfolios of Aegon the Netherlands, excluding reinsurance assets, are presented
\n
in the table that follows, organized by rating category and split by assets that are valued at fair value and assets that are valued
\n
at amortized cost. Aegon the Netherlands uses a composite rating based on a combination of the external ratings of S&P,
\n
Moody's and internal ratings. The rating used is the lower of the external rating and the internal rating.
\n
Credit rating general account investments, excluding reinsurance assets 2022
\n
The Netherlands
\n
Amortized cost
Fair value
\n
AAA
2,623
8,643
\n
AA
253
9,425
\n
A
233
3,411
\n
BBB
1,025
2,327
\n
BB
3
119
\n
B
-
33
\n
CCC or lower
-
1
\n
Assets not rated
30,702
1,450
\n
Total
34,838
25,409
\n
Past due and / or impaired assets
229
17
\n
At December 31, 2022
35,067
25,426
\n
The following table shows the credit quality of the gross positions in the statement of financial position for general account
\n
reinsurance assets specifically:
\n
Aegon Integrated Annual Report
2022 |
299
\n
Notes to the consolidated financial statements
Note 51
Carrying value
\n
AAA
-
\n
AA
22
\n
A
55
\n
Below A
-
\n
Not rated
1
\n
At December 31, 2022
79
\n
Credit risk concentration
\n
The tables that follow present specific credit risk concentration information for general account financial assets.
\n
Credit risk concentrations \u2013 debt securities and money market investments 2022
The Netherlands
\n
Of which past due and /
\n
or impaired assets
\n
Residential mortgage-backed securities (RMBSs)
65
-
\n
Commercial mortgage-backed securities (CMBSs)
2
-
\n
Asset-backed securities (ABSs) - CDOs backed by ABS, Corp. bonds, Bank loans
2,714
-
\n
Financial - Banking
1,306
-
\n
Financial - Other
569
-
\n
Capital goods and other industry
276
-
\n
Communications & Technology
715
-
\n
Consumer cyclical
373
-
\n
Consumer non-cyclical
710
-
\n
Energy
26
-
\n
Transportation
424
-
\n
Utility
232
-
\n
Government bonds
8,106
-
\n
At December 31, 2022
15,519
-
\n
Credit risk concentrations \u2013 Government bonds per country of risk 2022
The Netherlands
\n
Netherlands
2,671
\n
United Kingdom
3
\n
Austria
347
\n
Belgium
675
\n
Finland
38
\n
France
1,226
\n
Germany
2,412
\n
Indonesia
33
\n
Luxembourg
448
\n
Rest of Europe
70
\n
Rest of world
184
\n
At December 31, 2022
8,106
\n
Credit risk concentrations \u2013 Credit rating 2022
\n
1)
\n
Government
\n
bonds
Corporate bonds
\n
RMBSs CMBSs
\n
ABSs
Other
Total
\n
AAA
5,900
157
2,520
-
8,577
\n
AA
1,907
634
228
-
2,769
\n
A
80
1,688
12
-
1,780
\n
BBB
194
2,087
22
-
2,302
\n
BB
26
64
-
-
90
\n
B
-
-
-
-
-
\n
CCC or lower
-
1
-
-
1
\n
At December 31, 2022
8,106
4,631
2,782
-
15,519
\n
1
\n
CNLP Ratings are used and are the lower of the Barclay\u2019s Rating and the Internal Rating with the Barclay\u2019s rating being a blended rating of S&P, Fitch, and Moody\u2019s.
\n
|
Aegon Integrated Annual Report
2022
300
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Credit risk concentrations \u2013 mortgage loans 2022
The Netherlands
\n
Of which past due and / or
\n
impaired assets
\n
Retail
6
-
\n
Other commercial
19
1
\n
Residential
30,554
154
\n
At December 31, 2022
30,580
155
\n
There are no individual issuers rated below investment grade in the RMBS sector, CMBS sector and ABS sector which have
\n
unrealized loss position greater than EUR 25 million.
\n
The fair value of Aegon the Netherlands mortgage loan portfolio as per December 31, 2022, amounted to EUR 28,477 million
\n
(2021: EUR 34,198 million). The Loan-to-Value amounted to approximately 50% (2021: 56%). The mortgage portfolio
\n
is government guaranteed for 39% (2021: 42%). Of the portfolio, 0.1% (2021: 0.1%) is in delinquency (defined as 60 days
\n
in arrears). Impairments in 2022 amounted to a net recovery of EUR 1 million (2021: EUR 1 million). During the last ten years
\n
defaults of the portfolio have been 5 basis points on average.
\n
Unconsolidated structured entities
\n
For RMBSs, CMBSs and ABSs in which Aegon the Netherlands has an interest at reporting date, the following table presents
\n
total income received from those interests. The Investments column reflects the carrying values recognized in the statement
\n
of financial position of Aegon the Netherlands interests in RMBSs, CMBSs and ABSs.
\n
2022
\n
Total income for the year ended December 31, 2022
December 31, 2022
\n
Interest income
\n
Total gains and
\n
losses on sale of
\n
assets
Total
Investments
\n
Residential mortgage-backed securities
-
-
1
65
\n
Commercial mortgage-backed securities
-
-
-
2
\n
Asset-backed securities
7
(1)
7
2,714
\n
Total
8
(0)
8
2,782
\n
Additional information on credit risk, unrealized losses and impairments
\n
Debt instruments
\n
The amortized cost and fair value of debt securities, money market investments and other, included in Aegon the Netherlands
\n
available-for-sale (AFS) portfolios, are as follows as of December 31, 2022:
\n
2022
\n
Amortized
\n
cost
\n
Unrealized
\n
gains
\n
Unrealized
\n
losses
\n
Total fair
\n
value
\n
Fair value of
\n
instruments with
\n
unrealized gains
\n
Fair value of
\n
instruments with
\n
unrealized
\n
losses
\n
Debt securities, money market
\n
instruments and other
\n
Dutch government
2,728
15
(72)
2,671
281
2,390
\n
Other government
5,297
172
(244)
5,226
1,867
3,359
\n
Mortgage-backed securities
69
-
(2)
68
9
59
\n
Asset-backed securities
2,816
1
(102)
2,714
5
2,710
\n
Corporate
4,100
3
(673)
3,430
60
3,370
\n
Other
13
-
-
13
13
-
\n
Total
15,023
191
(1,092)
14,122
2,234
11,888
\n
Aegon Integrated Annual Report
2022 |
301
\n
Notes to the consolidated financial statements
Note 51
Unrealized bond losses by sector
\n
The composition by industry category of Aegon the Netherlands available-for-sale (AFS) debt securities, money market
\n
investments and other in an unrealized loss position at December 31, 2022, is presented in the following table:
\n
Unrealized losses - debt securities, money market investments and other
\n
December 31, 2022
\n
Carrying value of
\n
instruments with
\n
unrealized losses
Unrealized losses
\n
Residential mortgage-backed securities (RMBSs)
57
(2)
\n
Commercial mortgage-backed securities (CMBSs)
2
-
\n
Asset-backed securities (ABSs) - CDOs backed by ABS, Corp. bonds, Bank loans
2,710
(102)
\n
Financial Industry - Banking
757
(126)
\n
Financial Industry - Insurance
83
(14)
\n
Financial Industry - Other
227
(80)
\n
Industrial
2,183
(425)
\n
Utility
122
(27)
\n
Government
5,749
(316)
\n
Total
11,888
(1,092)
\n
Past due and impaired assets
\n
The tables that follow provide information on past due and individually impaired financial assets for Aegon the Netherlands.
\n
Past due but not impaired assets
\n
2022
\n
0-6 months
6-12 months
> 1 year
Total
\n
Mortgage loans
145
3
1
149
\n
Other loans
7
4
61
73
\n
At December 31
152
7
62
222
\n
Impaired financial assets
Carrying amount 2022
\n
Shares
17
\n
Mortgage loans
6
\n
Other loans
2
\n
At December 31
24
\n
Equity market risk and other investments risk
\n
Equity, real estate and non-fixed income exposure
The Netherlands
\n
Equity funds
34
\n
Investments in real estate
2,545
\n
Other alternative investments
349
\n
Other financial assets
1,105
\n
At December 31, 2022
4,032
\n
Market risk concentrations \u2013 shares
The Netherlands
\n
Of which impaired
\n
assets
\n
Financials
4
-
\n
Funds
1,406
17
\n
At December 31, 2022
1,411
17
\n
|
Aegon Integrated Annual Report
2022
302
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Risks and risks management arising from financial instruments subject to interest rate benchmark reform
\n
The table below summarize the exposures of non-derivative financial assets and non-derivative liabilities of Aegon
\n
the Netherlands that yet have to transition to alternative benchmark rates.
\n
Non derivative financial instruments to transition to alternative benchmark
\n
2022
\n
Financial assets
\n
non-derivatives
\n
Financial liabilities
\n
non-derivatives
\n
By benchmark rate
\n
Euribor
3,517
-
\n
Total
3,517
-
\n
Derivative financial instruments to transition to alternative benchmark
\n
2022
2021
\n
Nominal Value
Nominal Value
\n
By benchmark rate
\n
GBP LIBOR
-
-
\n
USD LIBOR
963
-
\n
EUR LIBOR
-
-
\n
Euribor
119,638
112,599
\n
Fed Funds
-
-
\n
Total
120,601
112,599
\n
Liquidity risk
\n
Maturity analysis \u2013 gross undiscounted
\n
contractual cash flows (for non-derivatives)
On demand
< 1 yr amount
\n
1 < 5 yrs
\n
amount
\n
5 < 10 yrs
\n
amount
\n
> 10 yrs
\n
amount
Total amount
\n
2022
\n
Borrowings
-
1,574
3,321
14
503
5,412
\n
Other financial liabilities
455
800
129
112
170
1,665
\n
Total financial liabilities (excluding
\n
investment/insurance contracts)
455
2,375
3,450
126
673
7,078
\n
Investment contracts
\n
1)
\n
9,167
617
1,448
731
552
12,517
\n
Investment contracts for account of
\n
policyholders
\n
1)
\n
1,396
-
-
-
-
1,396
\n
Total investment contracts
10,564
617
1,448
731
552
13,913
\n
1
\n
Excluding investment contracts with discretionary participating features.
\n
The maturity analysis below shows the remaining contractual maturities of each category of financial liabilities (including
\n
coupon interest) of Aegon the Netherlands.
\n
To manage the liquidity risk arising from financial liabilities, Aegon the Netherlands holds liquid assets comprising cash and
\n
cash equivalents and investment grade investment securities for which there is an active and liquid market. These assets
\n
can be readily sold to meet liquidity requirements. For this reason, Aegon the Netherlands believes that it is not necessary
\n
to disclose a maturity analysis in respect of these assets to enable users to evaluate the nature and extent of liquidity risk.
\n
Financial liabilities relating to insurance and
\n
investment contracts
\n
1)
\n
On demand
< 1 yr amount
\n
1 < 5 yrs
\n
amount
\n
5 < 10 yrs
\n
amount
\n
> 10 yrs
\n
amount
Total amount
\n
2022
\n
Insurance contracts
-
1,819
6,330
7,411
30,422
45,982
\n
Insurance contracts for account of
\n
policyholders
-
1,227
4,598
5,791
16,253
27,870
\n
Investment contracts
-
7,476
3,410
1,172
552
12,610
\n
Investment contracts for account of
\n
policyholders
-
1,396
-
-
-
1,396
\n
Total
-
11,919
14,339
14,373
47,227
87,858
\n
1
\n
The liability amount in the table reflects the discounting for interest as well as adjustments for the timing of other factors as described above. As a result, the sum
\n
of the cash benefit payments shown for all years in the table exceeds the corresponding liability amounts included in Insurance contracts and Investments
\n
contracts.
\n
Aegon Integrated Annual Report
2022 |
303
\n
Notes to the consolidated financial statements
Note 51
The following table details Aegon the Netherlands liquidity analysis for its derivative financial instruments, based
\n
on the undiscounted contractual net cash inflows and outflows on derivative instruments that settle on a net basis, and
\n
the undiscounted gross inflows and outflows on those derivatives that require gross settlement.
\n
Maturity analysis relating to derivatives
\n
1)
\n
(Contractual cash flows)
On demand
< 1 yr amount
\n
1 < 5 yrs
\n
amount
\n
5 < 10 yrs
\n
amount
\n
> 10 yrs
\n
amount
Total amount
\n
2022
\n
Gross settled
\n
Cash inflows
-
2,449
9,757
10,618
20,748
43,572
\n
Cash outflows
-
(2,422)
(10,107)
(11,167)
(20,613)
(44,309)
\n
Net settled
\n
Cash inflows
-
-
-
-
-
-
\n
Cash outflows
-
-
-
-
-
-
\n
1
\n
Derivatives includes all financial derivatives regardless whether they have a positive or a negative value. It does not include bifurcated embedded derivatives.
\n
These are presented together with the host contract. For interest rate derivatives only, cash flows related to the pay leg are taken into account for determining the
\n
gross undiscounted cash flows.
\n
Income tax
\n
The income tax of Aegon the Netherlands is calculated against the enacted applicable tax rate and includes a one-time tax
\n
charge of EUR 454 million related to the anticipated settlement of a tax position in connection with the transaction with a.s.r.
\n
Cash and cash equivalents
\n
Cash and cash equivalents include cash and demand balances held at the Dutch Central Bank. The Dutch Central Bank
\n
requires Aegon Bank N.V. to place 1% of their deposits with agreed maturity or the savings accounts (without restrictions
\n
to withdraw their money) in an account with the Dutch Central Bank. These deposits are not freely available. This so-called
\n
minimum reserve is renewed each maintenance period consisting of approximately six weeks. At year-end 2022, the interest
\n
of 2.5% is received on this minimum reserve (2021: No interest was paid on this minimum reserve). The year-end minimum
\n
required balance on deposit by the Dutch Central Bank was EUR 82 million (2021: EUR 74 million, 2020: EUR 84 million).
\n
Derivatives
\n
For the year ended December 31, 2022, Aegon the Netherlands recognized EUR 1,482 million negative fair value changes
\n
on mortgage loans using fair value hedge accounting under the EU carve out version of IAS 39 in the income statement
\n
(2021: EUR 422 million negative). This amount was partly offset by EUR 1,445 million positive fair value changes recognized
\n
on the derivatives used as hedging instrument (2021: EUR 442 million positive).
\n
Insurance contracts
\n
At December 31, 2022, the liability adequacy test (LAT) of Aegon the Netherlands resulted in a net LAT deficit
\n
of EUR 171 million, compared to a net LAT deficit of EUR 2.243 million at December 31, 2021. The reduction of the net LAT
\n
deficit is recorded in the income statement. The improvement of the net LAT deficit is driven by market movements, mainly
\n
by increased interest rates and widening credit spreads. This was partly offset by unfavorable model and assumptions updates.
\n
As a result of the current deficit, changes in the LAT of Aegon the Netherlands, triggered by up or down movements in interest
\n
rates and credit spreads, are directly recognized in the income statement. The net result is less sensitive to interest rate
\n
movements as the results from interest rate hedging are also recognized in net result. Furthermore, the impact from increasing
\n
interest rates or tightening credit spreads on result before tax is capped to the net LAT deficit position.
\n
The estimated sensitivities including Aegon the Netherlands on shareholders\u2019 equity and on net result, for up and down shocks
\n
for bond credit spreads, mortgage spreads and liquidity premium for general account insurance liabilities are disclosed in note
\n
34 Insurance contracts.
\n
|
Aegon Integrated Annual Report
2022
304
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Guarantees in insurance contracts
\n
Aegon the Netherlands provides guarantees to its customers on expiry date for certain insurance contracts. In order to mitigate
\n
the risks related to the guarantees Aegon the Netherlands has setup a hedging program. Aegon the Netherlands does not use
\n
reinsurance in order to mitigate risks related to insurance contracts with a guarantee component
\n
Minimum investment return guarantees in the Netherlands
\n
The traditional life and pension products offered by Aegon in the Netherlands include various products that accumulate a cash
\n
value. Premiums are paid by customers at inception or over the term of the contract. The accumulation products pay benefits
\n
on the policy maturity date, subject to survival of the insured. In addition, most policies also pay death benefits if the insured
\n
dies during the term of the contract. The death benefits may be stipulated in the policy or depend on the gross premiums paid
\n
to date. Premiums and amounts insured are established at inception of the contract. The amount insured can be increased as a
\n
result of profit sharing, if provided for under the terms and conditions of the product. Minimum interest guarantees exist for all
\n
generations of traditional accumulation products written. Older generations contain a 4% guarantee; in 1999 the guarantee
\n
decreased to 3% and in 2013 the guarantee decreased to 0%.
\n
The traditional group pension contracts offered by Aegon in the Netherlands include large group insurance contracts that have
\n
an individually determined asset investment strategy underlying the pension contract. The guarantee given is that the profit
\n
sharing is the minimum of 0% and the realized return on an asset portfolio specified in the policy conditions, adjusted for
\n
technical interest rates ranging from 3% to 4%. If the adjusted return is negative, the 0% minimum is effective, but the loss in any
\n
given year is carried forward to be offset against any future surpluses within the contract period. In general, a guarantee is given
\n
for the life of the underlying employees so that their pension benefit is guaranteed. Large group contracts also share technical
\n
results (mortality risk and disability risk). The contract period is typically five years and the premiums are fixed over this period.
\n
These guarantees are valued at fair value and are included as part of insurance liabilities with the underlying host insurance
\n
contracts in note 34 Insurance contracts.
\n
The following table provides information on the liabilities for guarantees that are included in the valuation of the host contracts,
\n
net of the present value of the expected future premiums that are received to cover these guarantees:
\n
2022
2021
\n
GMI
\n
1),
2)
\n
GMI
\n
1),
2)
\n
At January 1
6,429
7,973
\n
Incurred guarantee benefits
\n
3)
\n
(3,471)
(1,544)
\n
At December 31
2,958
6,429
\n
Account value
\n
4)
\n
16,559
20,176
\n
Net amount at risk
\n
5)
\n
3,133
6,794
\n
1
\n
Guaranteed minimum investment return in the Netherlands.
\n
2
\n
Balances are included in the insurance liabilities on the face of the statement of financial position; refer to note 34 Insurance contracts.
\n
3
\n
Incurred guarantee benefits mainly comprise the effect of guarantees from new contracts, releases related to expired out-of-the-money guarantees and fair value
\n
movements during the reporting year.
\n
4
\n
Account value reflects the liability value of the insurance contracts as a whole.
\n
5
\n
The net amount at risk represents the sum of the differences between the guaranteed and actual amount that is credited to the policyholders. For Individual
\n
policies only positive differences are included, for Group pensions contracts carry forwards of negative differences are recognized.
\n
Aegon Integrated Annual Report
2022 |
305
\n
Notes to the consolidated financial statements
Note 51
Borrowings
\n
Operational funding
\n
Coupon rate
Coupon date
Issue / Maturity
2022
\n
Revolving Loan Facility Warehouse Mortgage Loans
Floating
Monthly
- / 23
260
\n
Revolving Loan Facility Warehouse Mortgage Loans
Floating
Monthly
- / 24
250
\n
Revolving Loan Facility Warehouse Mortgage Loans
Floating
Monthly
- / 25
271
\n
EUR 875 million \"SAECURE 16\" RMBS Note
\n
1)
\n
Floating
Quarterly
2018 / 23
609
\n
EUR 550 million \"SAECURE 18\" NHG RMBS Note
\n
2)
\n
Floating
Quarterly
2019 / 25
300
\n
EUR 750 million \"SAECURE 20\" RMBS Note
\n
3)
\n
Floating
Quarterly
2021 / 27
542
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
4)
\n
0.250%
Annual
2016 / 23
500
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
5)
\n
0.375%
Annual
2017 / 24
499
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
6)
\n
0.010%
Annual
2020 / 25
505
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
7)
\n
0.750%
Annual
2017 / 27
493
\n
EUR 500 million Conditional Pass-Through Covered Bond
\n
8)
\n
0.375%
Annual
2021 / 36
494
\n
Aegon Bank Senior Non-Preferred debt
0.625%
Annual
2019 / 24
499
\n
Other
5
\n
At December 31
5,227
\n
1
\n
The first optional redemption date is October 30, 2023; the final legal maturity date is October 30, 2091. Notes are fully collateralized by mortgage loans which
\n
are part of Aegon\u2019s general account investments.
\n
2
\n
The first optional redemption date is July 28, 2025; the final legal maturity date is April 28, 2092. Notes are fully collateralized by mortgage loans which are part
\n
of Aegon\u2019s general account investments.
\n
3
\n
The first optional redemption date is October 28, 2027; the final legal maturity date is April 28, 2093. Notes are fully collateralized by mortgage loans which are
\n
part of Aegon\u2019s general account investments.
\n
4
\n
The maturity date is May 25, 2023; the extended due for payment date is May 25, 2055.
\n
5
\n
The maturity date is November 21, 2024; the extended due for payment date is November 21, 2056.
\n
6
\n
The maturity date is November 16, 2025; the extended due for payment date is November 16, 2057.
\n
7
\n
The maturity date is June 27, 2027; the extended due for payment date is June 27, 2059.
\n
8
\n
The maturity date is June 9, 2036; the extended due for payment date is June 9, 2037.
\n
Defined benefit plans
\n
Aegon the Netherlands has a number of defined benefit plans and defined contribution plans. The defined benefit plans are
\n
subject to Dutch Pension regulations and governed by the Board of Directors of Aegon the Netherlands. The Board of Directors
\n
has the full power and discretion to administer the plan including developing investment policy and managing assets for
\n
the plans (although these assets do not qualify as \u2018plan assets\u2019 as defined by IFRS), deciding questions related to eligibility and
\n
benefit amounts, and any disputes that may arise from plan participants and for complying with the plan provisions, and legal
\n
requirements related to the plan and its operation. Aegon the Netherlands runs, in principle, full actuarial and investment risk
\n
regarding the defined benefit plans. This includes the risks of low interest rates, low returns and increased longevity. A part
\n
of this risk can be attributed to plan participants by lowering indexation or by increasing employee contributions.
\n
Furthermore, the specific statutory requirements governing the administration of group pension schemes have been laid down
\n
in the Pension Act (Pensioenwet / Pw). Insurers are subject to prudential supervision pursuant to the Financial Supervision Act
\n
(Wet op het financieel toezicht / Wft).
\n
Investment strategies are established based on asset and liability studies. The overall goal is to maximize total investment
\n
returns to provide sufficient funding for the present and anticipated future benefit obligations within the constraints of a
\n
prudent level of portfolio risk. These studies use for example return objectives and various investment instruments. Investment
\n
restrictions are updated regularly and they result in asset allocation mix and hedges.
\n
As at December 31, 2019, Aegon the Netherlands amended the defined benefit pension plan for their own employees. As of
\n
January 1, 2020, the defined benefit pension plan is closed for new members and there will be no further accrual of benefits
\n
to existing members. Entitlements before January 1, 2020, will remain unchanged and the indexation for those accruals will
\n
remain in force.
\n
The contributions to the retirement benefit plan of Aegon the Netherlands are paid by both the employees and the employer,
\n
with the employer contribution being variable. Aegon the Netherlandsdeducts employee contributions from the total pension
\n
expenses. The benefits covered are retirement benefits, disability, death and survivor pension. The defined benefit plans
\n
were unfunded by EUR 2,421 million at December 31, 2022 (2021: EUR 3,409 million). The defined benefit plans are largely
\n
backed by investment, although these assets do not qualify as \u2018plan assets\u2019 as defined by IFRS. The average remaining duration
\n
of the defined benefits obligation is 14.3 years (2021: 20.9 years).
\n
|
Aegon Integrated Annual Report
2022
306
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Aegon the Netherlands also has a post-retirement medical plan that contributes to the health care coverage of employees and
\n
beneficiaries after retirement. For this plan, Aegon the Netherlands has the responsibility to administer the plan in accordance
\n
with its terms, and decides on questions related to eligibility and determines plan provisions and benefit amounts. In addition,
\n
Aegon the Netherlands has the obligation to interpret the provisions of the plans, and to comply with any statutory reporting
\n
and disclosure requirements. Finally, Aegon the Netherlands reviews the terms of the plans and makes changes to the plans
\n
if and when appropriate. The liabilities related to these other post-employment benefit plans are fully unfunded and amount
\n
to EUR 41 million at December 31, 2022 (2021: EUR 57 million). The weighted average duration of the other post-employment
\n
benefit plans is 10.2 years (2021: 12.7 years).
\n
The principal actuarial assumptions that apply for the year-ended December 31 are as follows:
\n
Actuarial assumptions used to determine defined benefit obligations at year-end
2022
2021
\n
Demographic actuarial assumptions
\n
Mortality
NL mortality table
\n
1)
\n
NL mortality table
\n
1)
\n
Financial actuarial assumptions
\n
Discount rate
3.61%
1.01%
\n
Salary increase rate
\n
2)
\n
Curve 2022
Curve 2021
\n
Indexation
\n
2)
\n
Percentage is no longer derived
53.05% of Curve 2021
\n
1
\n
Based on prospective mortality table of the Dutch Actuarial Society with minor methodology adjustments.
\n
2
\n
Based on Dutch Consumer Price Index.
\n
The principal actuarial assumptions have an effect on the amounts reported for the defined benefit obligation. A change
\n
as indicated in the table below in the principal actuarial assumptions of the retirement benefit plan would have the following
\n
effects per year-end:
\n
Estimated approximate effects on
\n
the defined benefit obligation
\n
2022
2021
\n
Demographic actuarial assumptions
\n
10% increase in mortality rates
(38)
(100)
\n
10% decrease in mortality rates
41
112
\n
Financial actuarial assumptions
\n
100 basis points increase in discount rate
(221)
(622)
\n
100 basis points decrease in discount rate
281
849
\n
100 basis points increase in salary increase rate
-
-
\n
25 basis points increase in indexation
n/a
187
\n
25 basis points decrease in indexation
n/a
(170)
\n
The above sensitivity analysis is based on a change in one assumption while holding all other assumptions constant. In practice,
\n
this is unlikely to occur, and changes in some of the assumptions may be correlated. When calculating the sensitivity
\n
of the defined benefit obligation to significant actuarial assumptions the same method (present value of the defined benefit
\n
obligation calculated with the projected unit credit method at the end of the reporting period) has been applied as when
\n
calculating the defined benefit obligation recognized within the statement of financial position.
\n
Aegon Integrated Annual Report
2022 |
307
\n
Notes to the consolidated financial statements
Note 51
Fair value
\n
Fair value hierarchy
\n
The table below provides an analysis of assets and liabilities of Aegon the Netherlands recorded at fair value on a recurring
\n
basis by level of the fair value hierarchy:
\n
Level I
Level II
Level III
Total 2022
\n
Assets carried at fair value
\n
Available-for-sale investments
\n
Shares
-
-
21
21
\n
Debt securities
7,897
6,159
54
14,109
\n
Other investments at fair value
-
13
-
13
\n
7,897
6,171
75
14,143
\n
Fair value through profit or loss
\n
Shares
32
-
1,357
1,390
\n
Debt securities
87
1,279
44
1,410
\n
Other investments at fair value
-
-
64
64
\n
Investments for account of policyholders
\n
1)
\n
10,782
7,383
932
19,097
\n
Derivatives
127
8,268
-
8,394
\n
Investments in real estate
-
-
2,545
2,545
\n
11,029
16,930
4,942
32,900
\n
Revalued amounts
\n
Real estate held for own use
-
-
76
76
\n
-
-
76
76
\n
Total assets at fair value
18,925
23,101
5,092
47,118
\n
Liabilities carried at fair value
\n
Investment contracts for account of policyholders
\n
2)
\n
-
1,291
105
1,396
\n
Derivatives
3
8,482
754
9,239
\n
Total liabilities at fair value
\n
3)
\n
3
9,773
859
10,635
\n
1
\n
The investments for account of policyholders included in the table above only include investments carried at fair value through profit or loss.
\n
2
\n
The investment contracts for account of policyholders included in the table above represents only those investment contracts carried at fair value.
\n
3
\n
Total borrowings on the statement of financial position contain borrowings carried at amortized cost that are not included in the above schedule.
\n
Significant transfers between Level I, Level II and Level III
\n
The table below shows transfers between Level I and Level II of Aegon the Netherlands for financial assets and financial
\n
liabilities recorded at fair value on a recurring basis.
\n
Total 2022
\n
Transfers Level I to Level II
Transfers Level II to Level I
\n
Assets carried at fair value
\n
Available-for-sale
\n
Investments for account of policyholders
-
12
\n
Total assets at fair value
-
12
\n
|
Aegon Integrated Annual Report
2022
308
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Valuation techniques and significant unobservable inputs
\n
The table below presents information about the significant unobservable inputs used for recurring fair value measurements for
\n
certain Level III financial instruments of Aegon the Netherlands.
\n
Valuation technique
\n
1)
\n
Significant
\n
unobservable input
\n
2)
\n
December 31,
\n
2022
\n
Assets carried at fair value
\n
Available-for-sale
\n
Shares
\n
Net asset value
n.a.
-
\n
Other
n.a.
21
\n
21
\n
Debt securities
\n
Broker quote
n.a.
54
\n
54
\n
At December 31
75
\n
Fair value through profit or loss
\n
Shares
Other
n.a.
1,357
\n
Debt securities
Other
n.a.
44
\n
1,401
\n
Other investments at fair value
\n
Investment funds
Net asset value
n.a.
-
\n
Other
Other
n.a.
64
\n
64
\n
Total assets at fair value
\n
3)
\n
1,540
\n
Liabilities carried at fair value
\n
Derivatives
\n
Embedded derivatives in insurance contracts
Discounted cash flow
Own credit spread
754
\n
Total liabilities at fair value
754
\n
1
\n
Other in the table above (column Valuation technique) includes investments for which the fair value is uncorroborated and no broker quote is received.
\n
2
\n
Not applicable (n.a.) has been included when the unobservable inputs are not developed by the Group and are not reasonably available. Refer to the section Fair
\n
value measurement in this note for a detailed description of Aegon\u2019s methods of determining fair value and the valuation techniques.
\n
3
\n
Investments for account of policyholders are excluded from the table above and from the disclosure regarding reasonably possible alternative assumptions.
\n
Policyholder assets, and their returns, belong to policyholders and do not impact Aegon\u2019s net result or equity. The effect on total assets is offset by the effect on
\n
total liabilities.
\n
Effect of changes in significant unobservable assumptions to reasonably possible alternatives
\n
The table below presents the impact on a fair value measurement of Aegon the Netherlands of a change in the own credit
\n
spread by 5 basis points included in the discount rate.
\n
December 31, 2022
\n
Effect of reasonably possible
\n
alternative assumptions (+/-)
\n
Increase
Decrease
\n
Financial liabilities carried at fair value
\n
Embedded derivatives in insurance contracts
754
4
(4)
\n
Aegon Integrated Annual Report
2022 |
309
\n
Notes to the consolidated financial statements
Note 51
Fair value information about assets and liabilities not measured at fair value
\n
The following table presents the carrying values and estimated fair values for Aegon the Netherlands of assets and liabilities,
\n
excluding assets and liabilities which are carried at fair value on a recurring basis.
\n
Carrying amount
\n
December 31,
\n
2022
\n
Estimated fair value hierarchy
Total estimated fair
\n
value December 31,
\n
2022
Level I
Level II
Level III
\n
Assets
\n
Mortgage loans - held at amortized cost
30,580
-
-
28,477
28,477
\n
Private loans - held at amortized cost
4,484
-
-
3,966
3,966
\n
Other loans - held at amortized cost
3
-
-
3
3
\n
Liabilities
\n
Borrowings \u2013 held at amortized cost
5,227
-
-
4,920
4,920
\n
Investment contracts - held at amortized cost
12,179
-
-
11,826
11,826
\n
Summary of total financial assets and financial liabilities at fair value through profit or loss
\n
The table that follows summarizes the carrying amounts of financial assets and financial liabilities of Aegon the Netherlands
\n
that are classified as at fair value through profit or loss, with appropriate distinction between those financial assets and
\n
financial liabilities held for trading and those that, upon initial recognition, were designated as at fair value through profit or loss.
\n
2022
\n
Trading
Designated
\n
Investments for general account
-
2,864
\n
Investments for account of policyholders
-
19,097
\n
Derivatives with positive values not designated as hedges
6,522
-
\n
Total financial assets at fair value through profit or loss
6,522
21,960
\n
Investment contracts for account of policyholders
-
1,396
\n
Derivatives with negative values not designated as hedges
8,378
-
\n
Total financial liabilities at fair value through profit or loss
8,378
1,396
\n
Gains and losses on financial assets and financial liabilities classified at fair value through profit or loss
\n
Gains and losses recognized in the income statement on financial assets and financial liabilities classified as at fair value
\n
through profit or loss can be summarized as follows:
\n
2022
\n
Trading
Designated
\n
Net gains and (losses)
(6,495)
(4,031)
\n
Commitments and contingencies
\n
Investments contracted
\n
In the normal course of business, Aegon the Netherlands has committed itself through purchase and sale transactions
\n
of investments, mostly to be executed in the course of 2022. The amounts represent the future outflow and inflow, respectively,
\n
of cash related to these investment transactions that are not reflected in the consolidated statement of financial position.
\n
2022
\n
Purchase
Sale
\n
Real estate
341
4
\n
Mortgage loans
1,094
37
\n
Private loans
752
-
\n
Other
209
-
\n
|
Aegon Integrated Annual Report
2022
310
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
In the Netherlands, mortgage customers can take on top of their mortgage a construction deposit for home improvements.
\n
Undrawn amounts of construction deposits are netted against the outstanding total mortgage loans. Per December 31, 2022
\n
an amount of EUR 387 million (2021: EUR 319 million) of construction deposits is undrawn.
\n
< 1 year
\n
amounts
\n
1 < 2 years
\n
amounts
\n
2 < 3 years
\n
amounts
\n
3 < 4 years
\n
amounts
\n
4 < 5 years
\n
amounts
\n
> 5 years
\n
amounts
\n
2022
\n
Operating lease rights
(2)
(2)
(1)
(1)
(1)
(2)
\n
2022
\n
Guarantees
12
\n
Standby letters of credit
11
\n
Share of contingent liabilities incurred in relation to interests in joint ventures
5
\n
Transfers of financial assets
\n
Transferred financial assets that have not been derecognized in their entirety
\n
The following table reflects the carrying amount of financial assets of Aegon the Netherlands that have been transferred
\n
to another party in such a way that part or all of the transferred financial assets do not qualify for derecognition. Furthermore,
\n
it reflects the carrying amounts of the associated liabilities.
\n
2022
\n
Available-for-sale financial assets
\n
Financial assets at fair
\n
value through profit or loss
\n
Shares
Debt securities
Debt securities
\n
Investments for account
\n
of policyholders
\n
Carrying amount of transferred assets
40
656
-
-
\n
Carrying amount of associated liabilities
43
676
-
-
\n
Assets accepted
\n
The following tables present the fair value of the assets received by Aegon the Netherlands in relation to securities lending and
\n
reverse repurchase activities:
\n
Securities lending
2022
\n
Carrying amount of transferred financial assets
696
\n
Fair value of cash collateral received
-
\n
Fair value of non-cash collateral received
719
\n
Net exposure
(23)
\n
Non-cash collateral that can be sold or repledged in the absence of default
719
\n
Non-cash collateral that has been sold or transferred
-
\n
Reverse repurchase agreements
2022
\n
Cash paid for reverse repurchase agreements
220
\n
Fair value of non-cash collateral received
220
\n
Net exposure
-
\n
Non-cash collateral that can be sold or repledged in the absence of default
220
\n
Non-cash collateral that has been sold or transferred
-
\n
As part of Aegon\u2019s mortgage loan funding program in the Netherlands, EUR 5.0 billion (2021: EUR 5.1 billion) has been pledged
\n
as security for notes issued (refer to section on Borrowings in this note). The notes of SAECURE 17 and SAECURE 19 are held
\n
intercompany and are eliminated against the notes issued by the special purpose entity (SPE) in the consolidation process. Per
\n
December 31, 2022, as part of SAECURE 17, EUR 600 million has been posted as collateral with respect to the longevity
\n
reinsurance contract with Canada Life Reinsurance (2021: EUR 600 million) and EUR 295 million has been posted as collateral
\n
with respect to the longevity reinsurance contract with RGA. The notes from SAECURE 19 are European Central Bank eligible
\n
retained notes and therefore generated increased liquidity capacity.
\n
Aegon Integrated Annual Report
2022 |
311
\n
Notes to the consolidated financial statements
Note 51
Offsetting, enforceable master netting arrangements and similar agreements
\n
The following table only includes financial positions of Aegon the Netherlands for which there is a recognized corresponding
\n
position that could be offset under a legally enforceable master netting arrangement or similar agreement. Aegon
\n
the netherlands also enters into collateralized (reverse) repo or security lending and borrowing transaction, for which
\n
the collateral is not recognized on the balance sheet. The table provides details relating to the effect, or potential effect,
\n
of netting arrangements, including rights to set-off, associated with the entity's recognized financial assets and recognized
\n
financial liabilities.
\n
Financial assets subject to offsetting,
\n
enforceable master netting
\n
arrangements and similar
\n
agreements
\n
Gross amounts
\n
of recognized
\n
financial
\n
assets
\n
Gross amounts
\n
of recognized
\n
financial
\n
liabilities set
\n
off in the
\n
statement of
\n
financial
\n
position
\n
Net amounts of
\n
financial
\n
assets
\n
presented in
\n
the statement
\n
of financial
\n
position
\n
Related amounts not set off in
\n
the statements of financial
\n
position
\n
Net amount
\n
Financial
\n
instruments
\n
Cash collateral
\n
received
\n
(excluding
\n
surplus
\n
collateral)
\n
2022
\n
Derivatives
8,394
-
8,394
8,394
-
-
\n
At December 31
8,394
-
8,394
8,394
-
-
\n
Financial liabilities subject to
\n
offsetting, enforceable master
\n
netting arrangements and similar
\n
agreements
\n
Gross amounts
\n
of recognized
\n
financial
\n
liabilities
\n
Gross amounts
\n
of recognized
\n
financial
\n
assets set off
\n
in the
\n
statement of
\n
financial
\n
position
\n
Net amounts of
\n
financial
\n
liabilities
\n
presented in
\n
the statement
\n
of financial
\n
position
\n
Related amounts not set off in
\n
the statements of financial
\n
position
\n
Net amount
\n
Financial
\n
instruments
\n
Cash collateral
\n
pledged
\n
(excluding
\n
surplus
\n
collateral)
\n
2022
\n
Derivatives
8,485
-
8,485
8,419
66
-
\n
At December 31
8,485
-
8,485
8,419
66
- ",
"dimensions": {
"concept": "ifrs-full:DisclosureOfDiscontinuedOperationsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f40705": {
"value": "Assets and liabilities held for sale
The details as per December 31, 2022, on assets and liabilities held for sale are disclosed below. Comparatives
\n
related to assets and liabilities held for sale in the consolidated statement of financial position of Aegon N.V. are not re-
\n
presented, in line with IFRS 5 requirements. The comparative amounts and additional qualitative information are included
\nin the corresponding notes of this Integrated Annual Report.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfReclassificationsOrChangesInPresentationExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f42661": {
"value": "52 Events after the reporting period
On January 17, 2023, the Extraordinary General Meeting of shareholders (\"EGM\") of Aegon N.V. approved the strategic decision
\n
to combine Aegon\u2019s Dutch pension, life and non-life insurance, banking and mortgage origination operations with a.s.r. For more
\ninformation about this transaction, refer to note 51 Discontinued operations.",
"dimensions": {
"concept": "ifrs-full:DisclosureOfEventsAfterReportingPeriodExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
},
"f42856": {
"value": "Income statement of Aegon N.V.
For the year ended December 31
\n
Amounts in EUR million
Note
2022
2021
\n
Result
\n
Investment Income
3
21
13
\n
Total revenues
21
13
\n
Results from financial transactions
4
(30)
3
\n
Total result
(9)
16
\n
Charges
\n
Commissions and expenses
5
68
80
\n
Interest charges and related fees
6
127
129
\n
Total charges
196
210
\n
Result before tax
(204)
(193)
\n
Income Tax
7
47
54
\n
Result after tax
(158)
(139)
\n
Net result group companies
8
(2,375)
1,791
\n
Net result
(2,533)
1,651
\n
|
Aegon Integrated Annual Report
2022
314
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
\n
\n
Statement of financial position of Aegon N.V.
\n
As at December 31
\n
Before profit appropriation, amounts in EUR million
Note
2022
2021
\n
Non-current assets
\n
Financial fixed assets
\n
Shares in group companies
8
12,963
26,511
\n
Loans to group companies
9
1,435
1,829
\n
Other non-current assets
10
109
138
\n
14,507
28,478
\n
Current assets
\n
Receivables
\n
Receivables from group companies
11
31
35
\n
Other receivables
11
236
181
\n
Other current assets
12
123
90
\n
Accrued interest and rent
9
6
\n
398
312
\n
Cash and cash equivalents
\n
Cash and cash equivalents
1,619
1,204
\n
Total assets
16,524
29,993
\n
Shareholders\u2019 equity
\n
Share capital
13
319
321
\n
Paid-in surplus
14
6,853
7,033
\n
Revaluation account
14
(4,465)
6,453
\n
Legal reserves \u2013 foreign currency translation reserve
14
1,008
258
\n
Legal reserves in respect of group companies
14
2,439
2,316
\n
Retained earnings, including treasury shares
14
9,385
8,450
\n
Remeasurement of defined benefit plans of group companies
14
(1,565)
(2,199)
\n
Net result
14
(2,533)
1,651
\n
11,440
24,282
\n
Other equity instruments
15
1,943
2,363
\n
Total equity
13,383
26,645
\n
Non-current liabilities
\n
Subordinated borrowings
16
1,442
1,396
\n
Long-term borrowings
17
1,226
1,266
\n
2,669
2,662
\n
Current liabilities
\n
18
\n
Loans from group companies
13
7
\n
Payables to group companies
147
422
\n
Other current liabilities
282
227
\n
Accruals and deferred income
31
31
\n
472
686
\n
Total liabilities
3,141
3,349
\n
Total equity and liabilities
16,524
29,993
\n
Aegon Integrated Annual Report
2022 |
315
\n
Financial statements of Aegon N.V.
Financial statements of Aegon N.V.
\n
\n
Notes to the financial statements
\n
1 General information
\n
Aegon N.V., incorporated and domiciled in the Netherlands, is a public limited liability company organized under Dutch law
\n
and recorded in the Commercial Register of The Hague registered under number 27076669 and with its registered address
\n
at Aegonplein 50, 2591 TV, The Hague, the Netherlands. Aegon N.V. serves as the holding company for the Aegon Group and
\n
has listings of its common shares in Amsterdam and New York.
\n
Aegon N.V. (or 'the Company') and its subsidiaries ('Aegon' or 'the Group') have life insurance and pensions operations and are
\n
also active in savings and asset management operations, accident and health insurance, general insurance and to a limited
\n
extent banking operations. Aegon focuses on three core markets (the United States, the Netherlands, and the United Kingdom),
\n
three growth markets (Spain & Portugal, China, and Brazil) and one global asset manager. Furthermore, Aegon has activities
\n
in Asia and Southern and Eastern Europe. Headquarters are located in The Hague, the Netherlands. The Group employs around
\n
19,000 people worldwide (2021: over 22,000).
\n
2 Significant accounting policies
\n
The financial statements have been prepared in accordance with accounting principles in the Netherlands as embodied in Part
\n
9 of Book 2 of the Dutch Civil Code. In accordance with 2:362.8 of the Dutch Civil Code, the Company\u2019s financial statements
\n
are prepared based on the accounting principles of recognition, measurement and determination of profit, as applied
\n
in the consolidated financial statements. These principles also include the classification and presentation of financial
\n
instruments, being equity instruments or financial liabilities.
\n
The group companies are stated at their net asset value, determined on the basis of the consolidated accounting policies
\n
as applied in the consolidated financial statements of the Group. For details on the accounting policies applied for the group
\n
companies refer to the consolidated financial statements.
\n
Revaluation account includes unrealized gains and losses on available-for-sales assets and the positive changes in value
\n
that have been recognized in net result relating to investments (including real estate) and which do not have a frequent
\n
market listing.
\n
Legal reserves in respect of group companies include net increases in net asset value of subsidiaries and associates since
\n
their first inclusion, less any amounts that can be distributed without legal restrictions.
\n
A reference is made to note 2 Significant accounting policies of the consolidated financial statements for the description
\n
of the accounting policies applied.
\n
3 Investment income
\n
2022
2021
\n
Interest income from intercompany loans
14
12
\n
Interest income from derivatives
7
1
\n
Total
21
13
\n
4 Results from financial transactions
\n
2022
2021
\n
Net fair value change of derivatives
(30)
5
\n
Net foreign currency gains and (losses)
-
(1)
\n
Total
(30)
3
\n
Net fair value change of derivatives mostly comprises of fair value changes on derivatives that are designated as economic
\n
hedges for which no hedge accounting is applied.
\n
|
Aegon Integrated Annual Report
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316
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
5 Commissions and expenses
\n
2022
2021
\n
Employee expenses
82
84
\n
Administration expenses
63
71
\n
Cost sharing to group companies
(76)
(75)
\n
Total
68
80
\n
6 Interest charges and related fees
\n
2022
2021
\n
Subordinated borrowings
72
68
\n
Borrowings
52
54
\n
Other
3
8
\n
Total
127
129
\n
7 Income tax
\n
2022
2021
\n
Current Tax
\n
Current Tax
47
54
\n
Income tax for the period (result) / charge
47
54
\n
Reconciliation between standard and effective tax
\n
Result before tax
(204)
(193)
\n
Tax on result at Dutch corporate result tax rate
53
48
\n
Differences due to the effect of:
\n
Tax rate changes
-
4
\n
Change in uncertain tax positions
-
8
\n
Non deductible expenses
(7)
(7)
\n
Total
47
54
\n
8 Shares in group companies
\n
2022
2021
\n
At January 1
26,511
25,643
\n
Capital contributions and acquisitions
36
65
\n
Dividend received
(1,634)
(1,196)
\n
Net result for the financial year
(2,375)
1,791
\n
Revaluations
(9,575)
209
\n
At December 31
12,963
26,511
\n
For a list of names and locations of the most important group companies, refer to note 49 Group companies of the consolidated
\n
financial statements of the Group. The legally required list of participations as set forth in article 379 of Book 2 of the Dutch
\n
Civil Code has been registered with the Commercial Register of The Hague.
\n
9 Loans to group companies
\n
2022
2021
\n
At January 1
1,829
1,392
\n
Additions / (repayments)
(502)
308
\n
Other changes
109
128
\n
At December 31
1,435
1,829
\n
Current
932
639
\n
Non-current
503
1,190
\n
Aegon Integrated Annual Report
2022 |
317
\n
Notes to the financial statements of Aegon N.V.
Note 5
The other changes in Loans to group companies mainly relate to currency exchange rate fluctuations.
\n
10 Non-current assets
\n
Other non-current assets relates to deferred tax assets of EUR 109 million (2021: EUR 138 million).
\n
11 Receivables
\n
Receivables from group companies and other receivables have a maturity of less than one year.
\n
Aegon N.V., together with certain of its subsidiaries, is part of a tax grouping for Dutch corporate income tax purposes.
\n
The members of the fiscal unity are jointly and severally liable for any taxes receivable or payable by the Dutch tax grouping.
\n
Other receivables included an income tax receivable of EUR 189 million (2021: 157 million).
\n
12 Other current assets
\n
Other current assets include derivatives with positive fair values of EUR 118 million (2021: EUR 77 million).
\n
13 Share capital
\n
Issued and outstanding capital
2022
2021
\n
Common shares
253
253
\n
Common shares B
66
68
\n
Total share capital
319
321
\n
Common shares
2022
2021
\n
Authorized share capital
720
720
\n
Number of authorized shares (in million)
6,000
6,000
\n
Par value in cents per share
12
12
\n
Common shares B
2022
2021
\n
Authorized share capital
360
360
\n
Number of authorized shares (in million)
3,000
3,000
\n
Par value in cents per share
12
12
\n
All issued common shares and common shares B each have a nominal value of EUR 0.12 and are fully paid up. Repayment
\n
of capital can only be initiated by the Executive Board, is subject to approval of the Supervisory Board and must be resolved
\n
by the General Meeting of Shareholders. Moreover, repayment on common shares B needs approval of the related
\n
shareholders. Refer to Other information for further information on dividend rights.
\n
Vereniging Aegon, based in The Hague, the Netherlands, holds all of the issued and outstanding common shares B.
\n
For detailed information on the transactions between Aegon N.V. and Vereniging Aegon refer to note 50 Related party
\n
transactions in the consolidated financial statements of the Group.
\n
The following table shows the movement during the year in the number of common shares and common shares B:
\n
Common shares
Common shares B
\n
Number of shares
\n
(thousands)
Total amount
\n
Number of shares
\n
(thousands)
Total amount
\n
At January 1, 2021
2,098,114
252
571,795
69
\n
Shares withdrawn
(2,466)
-
(2,956)
-
\n
Dividend
10,665
1
-
-
\n
At December 31, 2021
2,106,313
253
568,839
68
\n
Shares withdrawn
(10,665)
(1)
(22,643)
(3)
\n
Dividend
13,782
2
-
-
\n
At December 31, 2022
2,109,430
253
546,196
66
\n
|
Aegon Integrated Annual Report
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318
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
The following table shows the weighted average number of common shares and common shares B:
\n
Weighted average
\n
number of common
\n
shares (thousands)
\n
Weighted average
\n
number of common
\n
shares B (thousands)
\n
2021
2,101,231
570,629
\n
2022
2,107,315
559,906
\n
The shares repurchased by Aegon N.V. during the share-buy-back programs to undo the dilution caused by the distribution
\n
of dividend in stock, although included in the issued and outstanding number of shares, are excluded from the calculation
\n
of the weighted average number of shares.
\n
Long-term incentive plans
\n
For detailed information on the Long Term Incentive Plans refer to note 14 Commissions and expenses to the consolidated
\n
financial statements of the Group.
\n
Board remuneration
\n
Detailed information on remuneration of active and retired members of the Executive Board including their share plans,
\n
remuneration of active and retired members of the Supervisory Board along with information about shares held in Aegon
\n
by the members of the Boards is included in note 50 Related party transactions to the consolidated financial statements
\n
of the Group and in the remuneration report on page 65.
\n
Aegon Integrated Annual Report
2022 |
319
\n
Notes to the financial statements of Aegon N.V.
Note 13
14 Shareholders\u2019 equity
\n
Share
\n
capital
\n
Paid- in
\n
surplus
\n
Revalua-
\n
tion
\n
account
\n
Legal
\n
re-
\n
serves
\n
FCTR
\n
Legal
\n
reserves
\n
group
\n
compa-
\n
nies
\n
Retained
\n
earnings
\n
Remeasure-
\n
ment of
\n
defined
\n
benefit plans
\n
of group
\n
companies
\n
Treasury
\n
shares
\n
Net
\n
result
Total
\n
At January 1, 2022
321
7,033
6,453
258
2,316
8,722
(2,199)
(273)
1,651
24,282
\n
Net result 2021
\n
retained
-
-
-
-
-
1,651
-
-
(1,651)
-
\n
Net result 2022
-
-
-
-
-
-
-
-
(2,533)
(2,533)
\n
Total net result
-
-
-
-
-
1,651
-
-
(4,185)
(2,533)
\n
Foreign currency
\n
translation
\n
differences and
\n
movement in
\n
foreign
\n
investment
\n
hedging reserves
-
-
-
750
-
-
(20)
-
-
730
\n
Changes in
\n
revaluation in
\n
subsidiaries
-
-
(10,901)
-
-
-
-
-
-
(10,901)
\n
Changes in
\n
revaluation
\n
reserve real
\n
estate held for
\n
own use
-
-
(17)
-
-
16
-
-
-
(1)
\n
Remeasurement of
\n
defined benefit
\n
plans of group
\n
companies
-
-
-
-
-
-
655
-
-
655
\n
Changes and
\n
transfer to legal
\n
reserve
-
-
-
-
123
(201)
-
-
-
(78)
\n
Other
-
-
-
-
-
38
-
-
-
38
\n
Other
\n
comprehensive
\n
income / (loss)
-
-
(10,918)
750
123
(146)
635
-
-
(9,557)
\n
Shares issued
2
-
-
-
-
-
-
-
-
2
\n
Shares withdrawn
(4)
-
-
-
-
-
-
-
-
(4)
\n
Dividends paid on
\n
common shares
-
(180)
-
-
-
(167)
-
-
-
(346)
\n
Issuance and
\n
purchase of
\n
treasury shares
-
-
-
-
-
9
-
(402)
-
(393)
\n
Redemption other
\n
equity
\n
instruments
-
-
-
-
-
32
32
\n
Coupons on
\n
perpetual
\n
securities
-
-
-
-
-
(36)
-
-
-
(36)
\n
Incentive plans
-
-
-
-
-
(5)
-
-
-
(5)
\n
At December 31,
\n
2022
319
6,853
(4,465)
1,008
2,439
10,060
(1,565)
(675)
(2,533)
11,440
\n
|
Aegon Integrated Annual Report
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320
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
Share
\n
capital
\n
Paid- in
\n
surplus
\n
Revalua-
\n
tion
\n
account
\n
Legal
\n
re-
\n
serves
\n
FCTR
\n
Legal
\n
reserves
\n
group
\n
compa-
\n
nies
\n
Retained
\n
earnings
\n
Remeasure-
\n
ment of
\n
defined
\n
benefit plans
\n
of group
\n
companies
\n
Treasury
\n
shares
\n
Net
\n
result
Total
\n
At January 1, 2021
320
7,160
7,491
(601)
1,710
9,405
(2,534)
(181)
45
22,815
\n
Net result 2020
\n
retained
-
-
-
-
-
45
-
-
(45)
-
\n
Net result 2021
-
-
-
-
-
-
-
-
1,651
1,651
\n
Total net result
-
-
-
-
-
45
-
-
1,606
1,651
\n
Foreign currency
\n
translation
\n
differences and
\n
movement in
\n
foreign
\n
investment
\n
hedging reserves
-
-
-
859
-
-
(65)
-
-
795
\n
Changes in
\n
revaluation in
\n
subsidiaries
-
-
(1,035)
-
-
-
-
-
-
(1,035)
\n
Changes in
\n
revaluation
\n
reserve real
\n
estate held for
\n
own use
-
-
(3)
-
-
-
-
-
-
(3)
\n
Remeasurement of
\n
defined benefit
\n
plans of group
\n
companies
-
-
-
-
-
-
399
-
-
399
\n
Changes and
\n
transfer to legal
\n
reserve
-
-
-
-
606
(587)
-
-
-
19
\n
Other
-
-
-
-
-
14
-
-
-
14
\n
Other
\n
comprehensive
\n
income / (loss)
-
-
(1,038)
859
606
(573)
335
-
-
189
\n
Shares issued
1
-
-
-
-
-
-
-
-
1
\n
Shares withdrawn
(1)
-
-
-
-
-
-
-
-
(1)
\n
Dividends paid on
\n
common shares
-
(127)
-
-
-
(120)
-
-
-
(247)
\n
Issuance and
\n
purchase of
\n
treasury shares
-
-
-
-
-
4
-
(92)
-
(88)
\n
Coupons on
\n
perpetual
\n
securities
-
-
-
-
-
(39)
-
-
-
(39)
\n
At December 31,
\n
2021
321
7,033
6,453
258
2,316
8,722
(2,199)
(273)
1,651
24,282
\n
The balance of the revaluation account, which includes revaluation reserves for real estate, cash flow hedging and investments
\n
that do not have a frequent market listing, consisted of EUR 2,311 million (2021: EUR 7,294 million) of items with positive
\n
revaluation and of EUR 6,776 million (2021: EUR 840 million) of items with negative revaluation (on cash flow hedging and AFS
\n
investments). The revaluation linked to cash flow hedging hedging is identified on individual cash flow hedge positions.
\n
The legal reserves in respect of the foreign currency translation reserve (FCTR), group companies and the revaluation reserves,
\n
cannot be freely distributed. In case of negative balances for individual reserves legally to be retained, no distributions can
\n
be made out of retained earnings to the level of these negative amounts.
\n
Certain of Aegon\u2019s subsidiaries, principally insurance companies, are subject to restrictions on the amounts of funds they
\n
may transfer in the form of cash dividends or otherwise to their parent companies. There can be no assurance that these
\n
restrictions will not limit or restrict Aegon in its ability to pay dividends in the future.
\n
Aegon Integrated Annual Report
2022 |
321
\n
Notes to the financial statements of Aegon N.V.
Note 14
For more details on distributable reserves, refer to note 43 Capital management and solvency of the consolidated
\n
financial statements.
\n
On the reporting date, Aegon N.V. and its subsidiaries held 146,606,837 (2021: 71,780,196) of its own common shares
\n
and 51,762,840 (2021: 30,588,800) own common shares B with a par value of EUR 0.12 each.
\n
Movements in the number of treasury common shares held by Aegon N.V. were as follows:
\n
2022
2021
\n
Number of shares
\n
(thousands)
Amount
\n
Number of shares
\n
(thousands)
Amount
\n
At January 1
70,958
262
52,686
171
\n
Transactions in 2022:
\n
Purchase: 1 transaction, average price EUR 4.92
10,158
50
\n
Sale: 4 transactions, average price EUR 2.46
(4,708)
(12)
\n
Sale: 1 transaction, average price EUR 3.12
(18,676)
(58)
\n
Purchase: 1 transaction, average price EUR 4.38
24,364
107
\n
Share withdrawn: 1 transaction, average price EUR 3.70
(10,665)
(39)
\n
Sale: 1 transaction, average price EUR 3.91
(21,365)
(84)
\n
Purchase: 1 transaction, average price EUR 4.49
29,833
134
\n
Purchase: 3 transactions, average price EUR 4.58
65,921
302
\n
Transactions in 2021:
\n
Sale: transactions, average price 3.90
(4,139)
(16)
\n
Shares witdrawn: 1 transaction, average price EUR 3.89
(2,466)
(10)
\n
Sale: 1 transaction, average price 3.89
(15,274)
(59)
\n
Purchase: 1 transaction average price 3.70
35,933
133
\n
Sale: 1 transaction, average price 3.02
(17,314)
(52)
\n
Purchase: 1 transaction average price 4.46
21,532
96
\n
At December 31
145,821
662
70,958
262
\n
Movements in the number of treasury common shares B held by Aegon N.V. were as follows:
\n
2022
2021
\n
Number of shares
\n
(thousands)
Amount
\n
Number of shares
\n
(thousands)
Amount
\n
At January 1
30,589
3
12,884
1
\n
Transactions in 2022:
\n
Share withdrawn: 1 transaction, average price EUR 0.10
(22,643)
(2)
\n
Purchase: 1 transaction, average price EUR 0.12
43,817
5
\n
Transactions in 2021:
\n
Sale: 1 transaction, average price EUR 0.10
(1,983)
-
\n
Shares withdrawn: 1 transaction, average price EUR 0.10
(2,956)
-
\n
Purchase: 1 transaction, average price EUR 0.10
22,643
2
\n
At December 31
51,763
6
30,589
3
\n
As part of their insurance and investment operations, subsidiaries within the Group also hold Aegon N.V. common shares, both
\n
for their own account and for account of policyholders. These shares have been treated as treasury shares and are included
\n
at their consideration paid or received.
\n
|
Aegon Integrated Annual Report
2022
322
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
2022
2021
\n
Number of shares
\n
(thousands)
Total amount
\n
Number of shares
\n
(thousands)
Total amount
\n
Common shares
\n
Held by Aegon N.V.
145,821
662
70,958
262
\n
Held by subsidiaries
785
8
822
8
\n
Common shares B
\n
Held by Aegon N.V.
51,763
6
30,589
3
\n
At December 31
198,369
676
102,369
273
\n
The consideration for the related shares is deducted from or added to the retained earnings.
\n
15 Other equity instruments
\n
Perpetual contingent
\n
convertible securities
\n
Junior perpetual
\n
capital securities
\n
Perpetual cumulative
\n
subordinated bonds
\n
Long Term
\n
Incentive Plans
\n
1)
\n
Total
\n
At January 1, 2022
500
1,352
454
57
2,363
\n
Shares granted
-
-
-
32
32
\n
Shares vested
-
-
-
(23)
(23)
\n
Securities redeemed
-
(429)
-
-
(429)
\n
At December 31, 2022
500
923
454
66
1,943
\n
At January 1, 2021
500
1,564
454
50
2,569
\n
Shares granted
-
-
-
27
27
\n
Shares vested
-
-
-
(21)
(21)
\n
Securities redeemed
-
(212)
-
-
(212)
\n
At December 31, 2021
500
1,352
454
57
2,363
\n
1
\n
Long Term Incentive Plans include the shares granted to personnel which are not yet vested.
\n
Perpetual contingent convertible securities
Coupon rate
Coupon date
\n
Year of next
\n
call
2022
2021
\n
EUR 500 million
5.625%
\n
1)
\n
Semi-annually, April 15
2029
500
500
\n
At December 31
500
500
\n
1
\n
The coupon is fixed at 5.625% until the first call date and reset thereafter to a 5 year mid swap plus a margin of 5.207%.
\n
The securities have been issued at par and have subordination provisions, rank junior to all other liabilities and senior
\n
to shareholders' equity only. The conditions of the securities contain certain provisions for optional and required coupon
\n
payment cancelation. Although the securities have no stated maturity, Aegon has the right to call the securities for redemption
\n
at par for the first time between April 15, 2029 and October 15, 2029 and every reset date (October 15, with five year intervals)
\n
thereafter. Upon breach of certain regulatory capital requirement levels, the securities convert into common shares.
\n
Junior perpetual capital securities
Coupon rate
Coupon date
\n
Year of next
\n
call
2022
2021
\n
USD 500 million
floating CMS rate
\n
1)
\n
Quarterly, July 15
2023
402
402
\n
EUR 950 million
floating DSL rate
\n
2)
\n
Quarterly, July 15
2023
521
950
\n
At December 31
923
1,352
\n
1
\n
The coupon of the USD 500 million junior perpetual capital securities is reset each quarter based on the then prevailing ten-year US dollar interest rate swap
\n
yield plus a spread of ten basis points, with a maximum of 8.5%.
\n
2
\n
The coupon of the EUR 950 million junior perpetual capital securities is reset each quarter based on the then prevailing ten-year Dutch government bond yield
\n
plus a spread of ten basis points, with a maximum of 8%.
\n
The interest rate exposure on some of these securities has been swapped to a three-month LIBOR and/or EURIBOR based yield.
\n
On April 5, 2022 Aegon completed a tender offer buying back EUR 429 million of perpetual capital securities, part
\n
of the EUR 950 million notes issued in 2004. Aegon bought back the securities at a purchase price of 90%. The gain realized
\n
on this tender offer amounts to EUR 43 million before tax and is recognized in retained earnings in 2022.
\n
The securities have been issued at par. The securities have subordination provisions, rank junior to all other liabilities and
\n
senior to shareholders' equity only. The conditions of the securities contain certain provisions for optional and required
\n
Aegon Integrated Annual Report
2022 |
323
\n
Notes to the financial statements of Aegon N.V.
Note 15
coupon payment deferral and, in situations under Aegon's control, mandatory coupon payment events. Although the securities
\n
have no stated maturity, Aegon has the right to call the securities for redemption at par for the first time on the coupon date
\n
in the years as specified, or on any coupon payment date thereafter.
\n
Perpetual cumulative subordinated bonds
Coupon rate
Coupon date
\n
Year of next
\n
call
2022
2021
\n
EUR 114 million
1.506%
\n
1),
4)
\n
Annually, June 8
2025
114
114
\n
EUR 136 million
1.425%
\n
2),
4)
\n
Annually, October 14
2028
136
136
\n
EUR 203 million
0.496%
\n
3),
4)
\n
Annually, March 4
2031
203
203
\n
At December 31
454
454
\n
1
\n
The coupon of the EUR 114 million bonds was originally set at 8% until June 8, 2005. Subsequently, the coupon has been reset at 4.156% until June 8, 2015 and
\n
1.506% until June 8, 2025.
\n
2
\n
The coupon of the EUR 136 million bonds was originally set at 7.25% until October 14, 2008. Subsequently, the coupon has been reset at 5.185% until October
\n
14, 2018 and 1.425% until October 14, 2028.
\n
3
\n
The coupon of the EUR 203 million bonds was originally set at 7.125% until March 4, 2011. Subsequently, the coupon has been reset at 4.26% until March 4,
\n
2021 and 0.496% until March 4, 2031.
\n
4
\n
If the bonds are not called on the respective call dates and after consecutive period of ten years, the coupons will be reset at the then prevailing effective yield of
\n
ten-year Dutch government securities plus a spread of 85 basis points.
\n
These bonds have the same subordination provisions as dated subordinated debt. In addition, the conditions of the bonds
\n
contain provisions for interest deferral.
\n
Although the bonds have no stated maturity, Aegon has the right to call the bonds for redemption at par for the first time
\n
on the coupon date in the year of next call.
\n
16 Subordinated borrowings
\n
Fixed to floating subordinated notes
\n
Coupon rate
Coupon date
\n
Issue /
\n
Maturity
\n
Year of next
\n
call
2022
2021
\n
EUR 700 million
4%
\n
1)
\n
Annually, April 25
2014/44
2024
699
698
\n
USD 800 million
5.5%
\n
2)
\n
Semi-annually, April 11
2018/48
2028
743
697
\n
At December 31
1,442
1,396
\n
Fair value of subordinated borrowings
1,372
1,567
\n
1
\n
The coupon is fixed at 4% until the first call date and floating therefafter with a 3 months Euribor plus a margin of 335bps.
\n
2
\n
The coupon is fixed at 5.5% until the first call date and floating thereafter with a 6 month USD LIBOR plus a margin of 3.539%.
\n
These securities are subordinated and rank senior to the junior perpetual capital securities, equally with the perpetual
\n
cumulative subordinated bonds and junior to all other liabilities. The conditions of the securities contain certain provisions for
\n
optional and required deferral of interest payments. There have been no defaults or breaches of conditions during the period.
\n
17 Long-term borrowings
\n
2022
2021
\n
Remaining terms less than 1 year
499
-
\n
Remaining terms 1 - 5 years
-
499
\n
Remaining terms 5 - 10 years
281
296
\n
Remaining terms over 10 years
446
472
\n
At December 31
1,226
1,266
\n
Fair value of long-term borrowings
1,289
1,735
\n
The repayment periods of borrowings vary from 1 year up to 17 years. The interest rates vary from 1.000%
\n
to 6.625% per annum.
\n
18 Current liabilities
\n
Loans from and payables to group companies have a maturity of less than one year. Other current liabilities include derivatives
\n
with negative fair values of EUR 189 million (2021: EUR 116 million).
\n
|
Aegon Integrated Annual Report
2022
324
\n
About Aegon
Governance and risk management
Financial information
Non-financial information
19 Commitments and contingencies
\n
Aegon N.V. has guaranteed and is severally liable for the following:
\n
\u2022
\n
Due and punctual payment of payables due under letter of credit agreements applied for by Aegon N.V. as co-applicant with
\n
its captive insurance companies that are subsidiaries of Transamerica Corporation and Commonwealth General
\n
Corporation. At December 31, 2022, the letter of credit arrangements utilized by captives to provide collateral to affiliates
\n
amounted to EUR 511 million (2021: EUR 1,157 million); as of that date no amounts had been drawn, or were due under
\n
these facilities;
\n
\u2022
\n
Due and punctual payment of payables by the consolidated group companies Transamerica Corporation, Aegon Funding
\n
Company LLC and Commonwealth General Corporation with respect to fixed subordinated notes, bonds, capital trust
\n
pass-through securities and notes issued under commercial paper programs amounted to EUR 1,042 million (2021: EUR
\n
987 million);
\n
\u2022
\n
Due to the intended sale of Aegon Nederland N.V. to ASR Nederland N.V. (a.s.r.), Aegon Nederland N.V. has recognized a
\n
deferred tax liability of EUR 454 million on the undistributed profits of certain subsidiaries, which were previously not
\n
recognized. The actual settlement of this deferred tax liability is planned prior to the transaction and is subject to the
\n
approval of the sale of Aegon Nederland N.V. by the regulators. Aegon N.V., through Aegon Europe Holding B.V., has agreed to
\n
compensate this negative equity effect of Aegon Nederland N.V. before closure of the deal with a.s.r. during 2023; and
\n
\u2022
\n
Due and punctual payment of any amounts owed to third parties by the consolidated group company Aegon Derivatives N.V.
\n
in connection with derivative transactions. Aegon Derivatives N.V. enters into derivative transactions with counterparties
\n
with which ISDA master netting agreements including collateral support annex agreements have been agreed; net (credit)
\n
exposure on derivative transactions with these counterparties was therefore limited as of December 31, 2022.
\n
20 Number of employees
\n
There were no employees employed by Aegon N.V. in 2022 (2021: nil).
\n
21 Auditor's remuneration
\n
Total remuneration of the group
\n
Of which PricewaterhouseCoopers
\n
Accountants N.V. (NL)
\n
2022
2021
2022
2021
\n
Audit fees
35
31
10
9
\n
Audit-related service fees
10
3
1
1
\n
Tax
1
-
-
-
\n
Other services
-
-
-
-
\n
Total
45
35
12
10
\n
Audit fees consist of fees billed for the annual financial statements audit (including quarterly reviews), subsidiary audits, equity
\n
investment audits and other procedures required to be performed by the independent auditor to be able to form an opinion
\n
on Aegon\u2019s consolidated financial statements. These other procedures include information systems and procedural reviews
\n
and testing performed in order to understand and place reliance on the systems of internal control, and consultations
\n
relating to the audit or quarterly review. They also include fees billed for other audit services, which are those services that
\n
only the external auditor reasonably can provide, and include statutory audits or financial audits for subsidiaries or affiliates
\n
of the Company and services associated with SEC registration statements, periodic reports and other documents filed with
\n
the SEC or other documents issued in connection with securities offerings.
\n
Audit-related services include, among others, assurance services to report on internal controls for third parties, due diligence
\n
services pertaining to potential business acquisitions/dispositions; discussions, review and testing of certain information
\n
related to the adoption of new accounting standards impacting future periods, financial reporting or disclosure matters not
\n
classified as 'Audit services'; financial audits of employee benefit plans; and agreed-upon or expanded audit procedures related
\n
to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters.
\n
22 Events after the reporting period
\n
On January 17, 2023, the Extraordinary General Meeting of shareholders (\"EGM\") of Aegon N.V. approved the strategic decision
\n
to combine Aegon\u2019s Dutch pension, life and non-life insurance, banking and mortgage origination operations with a.s.r. For more
\n
information about the this agreement, refer to note 51 Discontinued operations of the consolidated financial statements.
\n
Aegon Integrated Annual Report
2022 |
325
\n
Notes to the financial statements of Aegon N.V.
Note 19
23 Proposal for profit appropriation
\n
At the Annual General Meeting of Shareholders currently scheduled for May 25, 2023, the Executive Board will, in line with
\n
its earlier announcement and barring unforeseen circumstances, propose a final dividend for 2022 of EUR 0.12 per common
\n
share and EUR 0.003 per common share B. Aegon intends to move to a cash-only dividend as of the final dividend of 2023.
\n
To this end, Aegon will present an update to its dividend policy for discussion at the Annual General Meeting of Shareholders.
\n
If the proposed dividend is approved by shareholders, Aegon's shares will be quoted ex-dividend on the New York Stock
\n
Exchange on May 26, 2023 and on Euronext Amsterdam on May 29, 2023. The record date for the dividend will be May 30, 2023
\n
and the dividend will be payable as of June 29, 2023.
\n
2022
2021
\n
Final dividend on common shares
237
184
\n
Earnings to be retained
-
1,467
\n
To be deducted from retained earnings
(2,770)
-
\n
Net result attributable to owners of Aegon N.V.
(2,533)
1,651
\n
The Hague, the Netherlands, March 15, 2023
\n
Supervisory Board
Executive Board
\n
William L. Connelly
Lard Friese
\n
Mark A. Ellman
Matthew J. Rider
\n
Karen Fawcett
\n
Jack McGarry
\n
Ben J. Noteboom
\n
Caroline Ramsay
\n
Thomas Wellauer
\n
Corien M. Wortmann-Kool
\nDona D. Young",
"dimensions": {
"concept": "ifrs-full:DisclosureOfConsolidatedAndSeparateFinancialStatementsExplanatory",
"language": "en",
"entity": "scheme:O4QK7KMMK83ITNTHUG69",
"period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
}
}
}
}